Is it improbable to set the market premium of risk equal to zero for the interest rate process? For a stock price process it is, but for interest rates I have seen both positive and negative premiums!

Nobody that can help me? This is not so complicated????

What is iterative calibration?

<t>I try to price caps and floors. I have used the market model and a trinomial tree suggested by Hull-White. I have problem with understanding volatilities. In the Market model or Blacks formula I use a yearly volatility of 24 % and multiply with square rot of time. Then I try to convert this volat...

<t>I implemented the Hull-White trinomial tree. I will calculate some expected interest rates, but I do not know which probabilities I have calculated? These probabilities are not under the real measure P, so we must correct them to find real expected interest rates?? And how can I correct the proba...

Anyone that can help me????

I am going to price a cap, and in that connection I have some questions:* What is the "best" process for the interest rate?* How should I program it?* What are the most used models in practice?Thanks

The model with equal time step. And by the way is it much complicated to program a two-factor model?

HeyYou promised me a Matlab code, but did not come back!!!Someone else that can help? I have big trouble programming all the different situations that can happen.

Hey!I wonder if one can find matlab or visual basic code for implementing Hull - White trinomial interest rate tree?Trond