| dc.contributor | 金融系 | |
| dc.creator (作者) | 陳宏銘 | |
| dc.creator (作者) | Chen, Homing | |
| dc.creator (作者) | 胡承方 | |
| dc.creator (作者) | Hu, Cheng-Feng | |
| dc.date (日期) | 2011-08 | |
| dc.date.accessioned | 27-Sep-2018 17:05:25 (UTC+8) | - |
| dc.date.available | 27-Sep-2018 17:05:25 (UTC+8) | - |
| dc.date.issued (上傳時間) | 27-Sep-2018 17:05:25 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/120178 | - |
| dc.description.abstract (摘要) | This work considers the resolution of the Hull and White interest rate model. A deterministic process is adopted to model the random behavior of interest rate variation as a deterministic perturbation. It shows that the interest rate function and the yield function of the Hull and White interest rate model can be obtained by solving a nonlinear semi-infinite programming problem. A relaxed cutting plane algorithm is then proposed for the resulting optimization problem. The features of the proposed method are tested using a set of real data and compared with some commonly used spline fitting methods. | en_US |
| dc.format.extent | 158964 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Taiwanese Journal of Mathematics, 15(4), 頁1721-1736 | |
| dc.subject (關鍵詞) | Semi-infinite programming ; Hull and White ; Interest rate model | |
| dc.title (題名) | A deterministic approach for solving the Hull and White interest rate model. | |
| dc.type (資料類型) | article | |
