Looking for Hull-White 1994a paper

macca9 · November 14th, 2006, 5:57 am

Hi,Was hoping someone could upload or shoot through to me via pm Hull and White's 1994a paper ("Numerical procedures for implementing term structure models I: Single-Factor Models,'' Journal of Derivatives, 2, 1 (Fall 1994a) 7- 16).Can't find it in the public domain.CheersMacca

unkpath · November 16th, 2006, 3:49 am

do you still want that paper? vol II also?

macca9 · November 17th, 2006, 10:45 am

Yeah that would great unkpath.My email address is macca9@bluebottle.comThanks in advance.Macca

mutley · November 17th, 2006, 11:10 am

unkpath - i'd like it too if possible. could you upload it into this thread, so that everyone can access it please? the pdf's will need to be zippedMany thanks.

unkpath · November 18th, 2006, 5:15 am

here you go...

cosmologist · November 20th, 2006, 6:51 am

QuoteOriginally posted by: unkpathhere you go...Hi, I spent quite a lot of time mastering the short rate models to find out that HW 2 factor is almost impossible to implement in numerical form. The parameters are the invincible obstacles. The convergence is poor. Other than the plain vanilla there is no way I could extend it to exotics. Any body there who could educate me with some work?cheers

mutley · November 20th, 2006, 2:02 pm

cosmo, look for my HW2F on file share, made it in VBA for simplicity / portability

fizik · August 9th, 2007, 2:26 pm

QuoteOriginally posted by: macca9Hi,Was hoping someone could upload or shoot through to me via pm Hull and White's 1994a paper ("Numerical procedures for implementing term structure models I: Single-Factor Models,'' Journal of Derivatives, 2, 1 (Fall 1994a) 7- 16).Can't find it in the public domain.CheersMaccaSorry for bringing this up again. Are the papers still available somewhere? Need "... Single-Factor Models" badly.

rmeenaks · August 23rd, 2007, 7:43 pm

Here you go:Both 1 and 2http://www.nuclearphynance.com/User%20Files/53 ... ES2.pdfThe original thread is here:http://www.nuclearphynance.com/Show%20P ... Cheers,Ram

fizik · August 24th, 2007, 6:03 pm

rmeenaks,I owe you a Thanks

rmeenaks · August 27th, 2007, 1:31 pm

No problem, took less than 5 minutes of googling to find it :-)Cheers,Ram