<t>I have two separate implementations of Hull-White ? one of them is based on a paper titled ?Using Hull-White Interest-Rate Trees? and the second based on a paper they wrote some time later, called ?The General Hull-White Model and Super Calibration?. I am certain the implementations are correct, ...

<t>Hello all,I have a quick question regarding Leisen-Reimer trees.Can Leisen-Reimer trees be used to price anything but vanilla options? Since we have a closed form Black–Scholes for Europeans, that pretty much leaves Americans as the only options that would be priced with Leisen-Reimer trees. Corr...

<t>Hello all,I'm looking at the possibiliy of implementing Prof. Ju's algorithm for pricing European basket options using taylor expansion, but there is something I can't quite figure out. I was wondering if perhaps someone here can help.In page 11 of the paper mentioned above, Prof. Ju suggests cal...

<t>Hello all,I've implemented Monte Carlo pricing of European and American Basket Options, but there's something that keeps bothering me that I want to make sure is not an indication of a bug/mistake. The American options are priced based on the Longstaff-Schwartz algorithm, and Europeans are priced...

<t>I've implemented in the past a calibration method for Hull-White (HW) that estimates Sigma and Alpha based on market caplet vols. To do this I minimized the least-squares differences between market vols/prices and calculated values based on HW closed-form formula for pricing options on pure disco...

<t>I've implemented in the past a calibration method for Hull-White (HW) that estimates Sigma and Alpha based on market caplet vols. To do this I minimized the least-squares differences between market vols/prices and calculated values based on HW closed-form formula for pricing options on pure disco...

<t>Hello all,I've been working on writing code to price callable and puttable bonds via binomial trees, and I've run into an issue that I am not sure I understand. Perhaps someone here can help me.The implementation I did is based on Fabozzi, and I get results very close to his when I follow the exa...

<t>Hello all,I am trying to implement implied trinomial trees, and the literature I have found so far does not do a very good job at explaining how to obtain the option prices for the list of strikes and tenures represented in the nodes of the tree. Perhaps someone here can help.In all examples I ha...

<t>Hello all,I am trying to implement implied trinomial trees, and the literature I have found so far does not do a very good job at explaining how to obtain the option prices for the list of strikes and tenures represented in the nodes of the tree. Perhaps someone here can help.In all examples I ha...

<t>I need some help pricing Floating Rate Notes using a one-factor Hull-White trinomial tree. If the tree levels are, say, bi-annual, and the reset of the FRN is 1, the paymant dates will fall every other tree level. If that happens, how can I calculate the payments between reset dates given that th...

<t>I need some help pricing Floating Rate Notes using a one-factor Hull-White trinomial tree. If the tree levels are, say, bi-annual, and the reset of the FRN is 1, the paymant dates will fall every other tree level. If that happens, how can I calculate the payments between reset dates given that th...

<t>Hello all,How can I calculate the volatility of a zero coupon bond given all the short rate volatilities for the life of the bond? In other words, How can I calculate the yield volatility for a 3 year zero coupon bond, if I have the short rate volatilities for 0 --> 1 years, for 1 --> 2 years, an...

<t>I've been having a difficult time finding more information on mapping interest rate volatilities across compounding frequencies, and was wondering if anyone here knows of literature that discusses this very issue. My main goal is to learn how to solve the more general case of mapping an interest ...

<t>Hi all,I am in the process of implementing Hull-White consistent with both time-dependent yield and volatility (dr = [Theta(t)-Alpha(t)*r]*dt + Sigma(t)dz ). I am using two different sources:Book: Implementing Derivatives Models, by Clewlow and Strickland (page 278)Paper: Using Hull-WHite Interes...

<t>Hi,I am in the process of implementing Hull-White consistent with both time-dependent yield and volatility (dr = [Theta(t)-Alpha(t)*r]*dt + Sigma(t)dz ). I am using two different sources:Book: Implementing Derivatives Models, by Clewlow and Strickland (pp 278)Paper: Using Hull-WHite Interest Rate...