The Volatility of Interest Rates and Forward Rates in the Hull White Model

Paulusch, Joachim

doi:10.2139/ssrn.2159308

Download This Paper

Open PDF in Browser

Add Paper to My Library

The Volatility of Interest Rates and Forward Rates in the Hull White Model

10 Pages Posted: 10 Oct 2012 Last revised: 2 Jul 2014

See all articles by Joachim Paulusch

Joachim Paulusch

R+V Lebensversicherung AG

Date Written: July 2, 2014

Abstract

The interest rate model by Hull and White allows to calculate an explicit formula for the price of zero bonds. From this pricing formula we deduce explicit formulas for the volatility of the instantaneous forward rate, the volatility of the interest rate (both the spot rate and interest rates of any maturity), and the volatility of the forward rate.

Keywords: Hull White Model, volatility, interest rate, forward rate, instantaneous forward rate, pricing formula

JEL Classification: G13

Suggested Citation: Suggested Citation

Paulusch, Joachim, The Volatility of Interest Rates and Forward Rates in the Hull White Model (July 2, 2014). Available at SSRN: https://ssrn.com/abstract=2159308 or http://dx.doi.org/10.2139/ssrn.2159308