Looking for HW paper

entpl · August 25th, 2004, 1:59 pm

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?

maths2000 · August 25th, 2004, 2:09 pm

its also in the book "Hull and white on derivatives" which is easier to get hold off (since the journal of derivative issue is not online). I only have a paper copy but the paper "the general hull white model and super calibration" (also by hull and white) is online and it takes their earlier work forward. in fact the method used in "super calibration" is better than the method proprosed in their earlier papers. So if you are interested in building HW trees thats the one to look at.