Hull_White_Model

This is the Hull & White interest rate model whereby the short rate is modelled as a single-factor stochastic process r that follows the SDE:dr = (θ - αr)dt + σdw

where w is a Wiener process, α and σ are constants and θ is a deterministic function of the time t.

It follows that the short rate follows a gaussian process with a mean reverting stochastic drift, a fact that results in being normally distributed. Web reference available here