. In practice, re-calibration of the model to the prevailing market conditions leads to model parameters that change over … consistent re-calibration (CRC) approach, we construct models as concatenations of yield curve increments of Hull-White extended …

. In practice, re-calibration of the model to the prevailing market conditions leads to model parameters that change over … consistent re-calibration (CRC) approach, we construct models as concatenations of yield curve increments of Hull-White extended …

changes. We discuss how parameters need to be updated with changing market conditions such that the re-calibration meets the … premise of being free of arbitrage. We demonstrate this (consistent) re-calibration with the Hull-White extended discrete time …