smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2025SMQ / 237778293464452
A Sinusoidal Hull-White Model for Interest Rate Dynamics: Capturing Long-Term Periodicity in U.S. Treasury Yields
Amit Kumar Jha
fixed income / interest ratesResource overview

A Sinusoidal Hull-White Model for Interest Rate Dynamics: Capturing Long-Term Periodicity in U.S. Treasury Yields

Paper2025

by Amit Kumar Jha

Tags
fixed incomeinterest ratesterm structure models

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for rates and fixed income. Specialist prerequisites vary by paper.

Before you read

  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

Go further

  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Fixed Income and Interest-Rate Models

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Amit Kumar Jha

3