@article {Levin74, author = {Alexander. Levin}, title = {Interest Rate Model Selection}, volume = {30}, number = {2}, pages = {74--86}, year = {2004}, doi = {10.3905/jpm.2004.319932}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Analysis of the most popular single-factor mortgage valuation models unambiguously rejects the lognormality of interest rates. Recent trends in the swaption market indicate normalization, supporting use of the Hull-White model, which can be quickly and accurately calibrated to at-the-money swaptions. Durations for TBA instruments come up shorter by the Hull-White model and are generally more in line with the empirical measures. The issue of negative rates is not found to be detrimental to the standard OAS pricing practice.}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/30/2/74}, eprint = {https://jpm.pm-research.com/content/30/2/74.full.pdf}, journal = {The Journal of Portfolio Management} }