Modeling the Post-LIBOR Interest Rate Market - Calibration of a Time-Dependent Hull-White Model to SOFR Caps
Following the discontinuation of LIBOR, the interest rate market has transitioned to backward-looking benchmarks such as SOFR. Unlike traditional forward-looking rates like LIBOR, SOFR is set in arrears, which affects the pricing methods of derivatives linked to these benchmarks. This thesis studies the impact of this transition on the pricing and calibration of caps within the Hull-White framewor
