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How to calibrate the Hull-White model

In this course, you will learn how to calibrate the Hull-White model with constant mean-reversion speed and piecewise constant volatility to swaptions in Excel.

Pricing

How to calibrate the Hull-White model

$35

Course curriculum

1

Lessons
- Chapter 1 slides: The Black-76 model and swaptions
- Chapter 1 video: The Black-76 model and swaptions
- Chapter 2 slides: Mathematics behind the Hull-White model
- Chapter 2 video: Mathematics behind the Hull-White model
- Chapter 3 slides: Pricing swaptions in the Hull-White model
- Chapter 3 video: Pricing swaptions in the Hull-White model