As you can see from the title, it is a guide how to construct H-W tree. My
question was how to calibrate parameters of the model for Monte Carlo.

Best regards,
Wojtek

2008/10/10 Dale Smith <dsmith@viciscapital.com>

> 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@viciscapital.com
> AIM: dsmith11701
>
> -----Original Message-----
> From: r-sig-finance-bounces@stat.math.ethz.ch
> [mailto:r-sig-finance-bounces@stat.math.ethz.ch] On Behalf Of Wojciech
> Slusarski
> Sent: Friday, October 10, 2008 4:05 AM
> To: r-sig-finance@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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>
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