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I've read in some places that mean reversion parameters for a rates model, eg Hull White, can be estimated directly from the current yield curve. However I've not been able to find anything more on this. Any pointers on where to look?

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Have you tried:

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1514192

It should cover it, anyway Hull White fits the HJM framework so you should be able to calibrate it to swaptions or something if not the yield curve

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  • $\begingroup$ This is indeed where I ended up. $\endgroup$ – crunch Jul 2 '15 at 15:18

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