[R-SIG-Finance] Hull-White model calibration for Monte Carlo

[Dale Smith]

Hull & White wrote up implementation guidelines - a first for academics,
I believe.

"Using Hull-White Interest Rate Trees"

http://www.rotman.utoronto.ca/~hull/DownloadablePublications/

Dale Smith, Ph.D.
Vicis Capital LLC
Voice: 212-909-4635
Email: dsmith at viciscapital.com
AIM: dsmith11701

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Wojciech
Slusarski
Sent: Friday, October 10, 2008 4:05 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] Hull-White model calibration for Monte Carlo

Hello,

Does anybody could provide some hints on how to calibrate Hull-White
model
for Monte Carlo? How to fit parameters, that the model fits the initial
term
structure? I am interested in calibration of model in form as presented
in
3.33 in Brigo and Mercurio (2007):
dr(t) = [v(t) - ar(t)]dt + voldW(t)

If anybody has a paper describing such calibration and description how
to
conduct such simulation, I would appreciate that a lot.

Best regards,
Wojtek

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