<t>A colleague and I are looking to apply a standard delta/gamma approximation for interest rate derivatives, to obtain of potential values. To simulate the underlying shocks, we are using Hull White short rate model. In deriving the equation (attached), it is apparent that Gamma in fact depends onl...

<t>Has anyone tried to calibrate a short rate model to historical rates? I am interested to know what the success is. I tried to do it for HW using standard econometrics - represented HW as an AR(1) process, and transforming the rates such that the mean = 0, looked for a sigma and alpha. However I f...

I have tried calibrating with this spreadsheet and have severe problems with v. low yield curves ( forwards in the range of 0.01 - 0.03). Has any1 on this thread encountered them?

Hi – I need some help... I am looking for Hull-Whites 1994 paper, published in the Journal of derivatives. “Numerical procedures for implementing term structure models I: Single Factor Models” Journal of Derivatives. Can anyone help?

<r>Hi - I have a similar problem trying to calibrate it to HW. The problem I have is if I use something else than a AR(1) process I no longer comply with the HW process - so am not sure if I can use the parameters directly. It will be helpful if you can get in touch <EMAIL email="entchepl@hotmail.co...