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interest-rate-models

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Idriss-Afra / Hull-White-One-Factor-Model

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This project aims to implement the Hull & While One Factor model and apply it to price Bermudan Swaptions.

python jupyter-notebook derivatives model-calibration pde fixed-income swaptions hull-white pde-solver derivatives-pricing options-pricing bermudan-option options-calculator short-rates quant-finance interest-rate-derivatives bachelier-model fixed-income-analytics interest-rate-models fixed-income-modeling
  • Updated Mar 19, 2026
  • Jupyter Notebook

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