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About Hull-White model, A China Student seek help
Hi, everybody: I am a doctoral student of xi'an Jiaotong university of China. Recently I am learning the Hull-White interest model. My target is using this model to simulate the interest rate path to price the MBS. But because there is only bond data in China market, so I want to know how to estimate the drift and volatility parameters by using the bond data? I remember someone recommended using historical interest rate data; I really want to know the detail of that method.Thanks! Your help will be highly appreciated. Sincerely, Bu