Hull-White (HW) and Black-Karasinski (BK) Modeling
A description of the Hull-White model and its Black-Karasinski
modification can be found in:
Hull, John C., Options, Futures, and Other Derivatives,
Prentice-Hall, 1997, ISBN 0-13-186479-3.
You can find additional information about the Hull-White single-factor
model used in this toolbox in these papers:
Hull, J., and A. White, "Numerical Procedures for Implementing
Term Structure Models I: Single-Factor Models," Journal
of Derivatives, 1994.
Hull, J., and A. White, "Using Hull-White Interest Rate
Trees," Journal of Derivatives, 1996.
 | Heath-Jarrow-Morton (HJM) Modeling | | Cox-Ross-Rubinstein (CRR) Modeling |  |
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