| dc.contributor | 金融系 | - |
| dc.creator (作者) | Chen, Homing | - |
| dc.creator (作者) | 陳宏銘 | - |
| dc.date (日期) | 2010-07 | - |
| dc.date.accessioned | 15-Jun-2015 17:46:20 (UTC+8) | - |
| dc.date.available | 15-Jun-2015 17:46:20 (UTC+8) | - |
| dc.date.issued (上傳時間) | 15-Jun-2015 17:46:20 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/75815 | - |
| dc.description.abstract (摘要) | This work considers the solution of the Vasicek-type forward 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 solution of the Vasicek-type forward interest rate model can be obtained by solving a nonlinear semi-infinite programming problem. A relaxed cutting plane algorithm is then proposed for solving 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. © 2009 Elsevier B.V. All rights reserved. | - |
| dc.format.extent | 1253227 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | European Journal of Operational Research,Volume 204, Issue 2, Pages 343-354 | - |
| dc.subject (關鍵詞) | Cutting plane algorithms; Deterministic perturbation; Deterministic process; Forward interest rate; Interest rates; Optimization problems; Random behavior; Semi infinite programming; Spline fitting | - |
| dc.title (題名) | A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model | - |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/j.ejor.2009.09.012 | - |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.ejor.2009.09.012 | - |
