From: "dragon ball" <dragon.ball@worldnet.fr>
Subject: Re: Help! Hull and White stochastic volatility model
Date: Sun, 5 Mar 2000 19:19:45 +0100
Newsgroups: sci.math.num-analysis
Summary: [missing]

Hi !
(i suppose you are french)
For the solution of the SDE employ by HullWhite to model the volatility, you
can use any Ornstein-Uhlenbeck (mean reversion) process.
Then, the solution of dr(t) =a(b-r(t))dt +sigma.dW(t) is :
r(t) = r(0).exp(-a.t) + b(1-exp(-a.t)) + sigma.exp(-a.t) * sum((from 0 to
t)( exp(a.s).dW(s))
 A great reference for financial calculus is
    - "Martingale methods in financial modelling" from Musiela and
Rutkowski. Springer (it is not an introduction)
    - "An introduction to the mathematics of financial derivatives" Salim
Neftci. Academic Press. In my opinion it is the most comprensive for an
intuitive introduction. I really recommend this book !!!!!
    - For the PDE adict (versus martingale approch) i recommend the Wilmott
book :"The mathematics of financial derivatives"  Cambridge University
Press.
I hope i help you with my answer ...
Are you a student or a practionner ?