Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/120178
題名: | A deterministic approach for solving the Hull and White interest rate model. | 作者: | 陳宏銘 Chen, Homing 胡承方 Hu, Cheng-Feng |
貢獻者: | 金融系 | 關鍵詞: | Semi-infinite programming ; Hull and White ; Interest rate model | 日期: | Aug-2011 | 上傳時間: | 27-Sep-2018 | 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. | 關聯: | Taiwanese Journal of Mathematics, 15(4), 頁1721-1736 | 資料類型: | article |
Appears in Collections: | 期刊論文 |
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1500406375.pdf | 155.24 kB | Adobe PDF2 | View/Open |
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