A hybrid tree/finite-difference approach for Heston-Hull-White type models

Heston-Hull-White PDE的ADI有限差分格式

ADI finite difference schemes for the Heston-Hull-White PDE

本文研究交替方向隐式(ADI)时间离散格式在三维Heston-Hull-White偏微分方程数值求解中的有效性，通过非均匀空间网格上的有限差分半离散化，验证了ADI格式在多种情形下的稳定性、精度和效率。

Heston-Hull-White模型下 Bermudan 和障碍期权暴露轮廓及希腊字母的蒙特卡洛计算

Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model

本文基于Heston-Hull-White模型，提出一种逆向动力学框架，用于计算欧式、Bermudan和障碍期权的暴露轮廓及希腊字母，采用高效自适应的蒙特卡洛方法Stochastic Grid Bundling Method进行模拟、回归和捆绑。

Pricing Bermudan Swaption under Two Factor Hull-White Model with Fast Gauss Transform

This paper describes a fast and stable algorithm for evaluating Bermudan swaption under the two factor Hull-White model. We discretize the calculation of the expected value in the evaluation of Bermudan swaption by numerical integration, and Gaussian kernel sums appears in it. The fast Gauss transform can be applied to these Gaussian kernel sums, and it reduces computational complexity from $O(N^2)$ to $O(N)$ as grid points number $N$ of numerical integration. We also propose to stabilize the computation under the condition that the correlation is close to $-1$ by introducing the grid rotation…

Efficient swaptions price in Hull-White one factor model

The Hull-White one factor model is used to price interest rate options. The parameters of the model are often calibrated to simple liquid instruments, in particular European swaptions. It is therefore very important to have very efficient pricing formula for simple instruments. Such a formula is proposed here for European swaption. Based on a very efficient corrector type approximation the approximation is efficient both in term of precision and in term of spped. In our implementation the approximation is more than ten time faster than the direct pricing formula and more than twenty time faste…

具有波动率微笑的Hull-White模型用于估值调整

On the Hull-White model with volatility smile for Valuation Adjustments

本文提出rHW模型，通过具有状态依赖系数的SDE和RAnD参数化，实现对波动率微笑的捕捉，提升xVA计算的准确性。

Semi-closed form prices of barrier options in the Hull-White model

In this paper we derive semi-closed form prices of barrier (perhaps, time-dependent) options for the Hull-White model, ie., where the underlying follows a time-dependent OU process with a mean-reverting drift. Our approach is similar to that in (Carr and Itkin, 2020) where the method of generalized integral transform is applied to pricing barrier options in the time-dependent OU model, but extends it to an infinite domain (which is an unsolved problem yet). Alternatively, we use the method of heat potentials for solving the same problems. By semi-closed solution we mean that first, we need to …