# Tag Info

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### Hull-White formula on wikipedia, correct?

For the Hull-White model, where \begin{align*} dr_t = (\theta(t)-a r_t)dt+ \sigma dW_t, \end{align*} under the risk-neutral measure, we have that, for $t\ge s \ge 0$, \begin{align*} r_t = e^{-a(t-s)} ...
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### How to get set the theta function in the Hull-White model to replicate the current yield curve

Concerning your first question, this depends on what curve, currency, etc. you are interested in. The general method for constructing yield curves is called bootstrapping which allows you to derive ...
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• 20.5k
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### Lattice pricing of derivatives under multi curve framework (OIS and LIBOR)

There are many resources describing how to build a trinomial tree for the Hull & White model (for instance http://www-2.rotman.utoronto.ca/~hull/downloadablepublications/TreeBuilding.pdf), and ...
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### Hull White help needed

On the Monte-Carlo Simulation of the Hull-White Model: You can find the specification of the Euler Scheme simulation in https://ssrn.com/abstract=2737091 . The paper gives the exact Euler step, i.e. ...
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### Hull white model Monte Carlo simulation Zero Coupon Bond

You do not model $v(t)$ by Monte-Carlo! As your excerpt explains $\phi(t)$ is a deterministic function of the initial yield curve and accordingly $v(t)$ is deterministic as well. Two further remarks: (...
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### Hull-White model: match between HJM framework and short model formulation

Note that \begin{align*} f(t, T) = f(0, T) + \int_0^t\alpha(u,T)du+\int_0^t\sigma e^{-a(T-u)}dW_u, \end{align*} where, based on this question, \begin{align*} f(0, T) = \int_0^T \theta(u) e^{-a(T-u)} ...
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