24.2 The two-Factor hul white Model (equation 24.1, page 571) e()+-ax」+o;dz du=-budt + dz where x=f(r)and the correlation between dz, and dz2 is p The short rate reverts to a level dependent on u, and u Itself Is mean reverting Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 24.2 The Two-Factor Hull-White Model (Equation 24.1, page 571) dx  t u axdt dz du budt dz x f r dz dz u u = + − + = − + =     ( ) ( ) 1 1 2 2 1 2 where and the correlation between and is The short rate reverts to a level dependent on , and itself is mean reverting