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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