Financial Derivatives Toolbox™

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