<t>QuoteOriginally posted by: DavidJNJust looked at my old (17+ years old). You can get an analytical derivative for the bond price w.r.t. the short rate and solve for the critical r* using the Newton algorithm much like one solves a conventional bond yield.Hi DavidJN,To calibrate the mean reversion...

Hi David, i am very sorry about it. i will not do it again. thanks.

<r>QuoteOriginally posted by: jonath024Yes, I believe it is recombining.Have you looked at Hull & White "Using Hull-White Interest Rate Trees", Journal of Derivatives, Vol. 3, No. 3, (Spring 1996), pp. 26-36 ? It is available at John Hull's web sitehttp://<URL url="http://www.rotman.utoronto.ca/...

<t>Hi all,i could build hull white tree using hull text book when mean reversion and volatility are constant.when the volatility is time-varying piecewise volatility, i have problem constructing the tree. I can no longer determine the boundary and my probability is negative.does anyone have any exam...