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October 2nd, 2013, 04:51 PM   #1
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Hull White Model

I need to Prove that dr(t)=(?(t) -?(t)rt)dt+ ?(t)dWt

is equal to rt =e^(-at)(r0 + a(e^at-1) +?(integral from 0 to t)(e^(au)dW(u) using It?'s lemma. Maybe the wiki will help make this understandable. http://en.wikipedia.org/wiki/Hull%E2%80%93White_model

and help Proof that E[r(r)e^(-at)(r0 + a(e^at-1)
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