TY - JOUR T1 - Interest Rate Model Selection JF - The Journal of Portfolio Management SP - 74 LP - 86 DO - 10.3905/jpm.2004.319932 VL - 30 IS - 2 AU - Alexander. Levin Y1 - 2004/01/31 UR - https://pm-research.com/content/30/2/74.abstract N2 - 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. ER -