The two-factor Hull-White (2-HW) model is a famous stochastic model that describes the instantaneous short rate. It has functional qualities required in various practical purposes as in Asset Liability Management and in Trading of interest rate derivatives. The 2-HW is actually a special case of...

Benchmark models for the term structure and dynamic of the interest rate, having the instantaneous rate as the only state variable, were introduced by Vasicek (V) and Cox-Ingersoll-Ross (CIR). Then the measure of a zero-coupon bond price change with respect to any change of the short-term...