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...

An essential element of any realistic investment portfolio selection is the consideration of transaction costs. Our purpose, in this paper, is to determine the maximum return and the corresponding number of securities to buy giving such return, whenever practical constraints features related to...