A deterministic approach for solving the Hull and White interest rate model.

Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/120178

DC Field	Value	Language
dc.contributor	金融系
dc.creator	陳宏銘
dc.creator	Chen, Homing
dc.creator	胡承方
dc.creator	Hu, Cheng-Feng
dc.date	2011-08
dc.date.accessioned	2018-09-27T09:05:25Z	-
dc.date.available	2018-09-27T09:05:25Z	-
dc.date.issued	2018-09-27T09:05:25Z	-
dc.identifier.uri	http://nccur.lib.nccu.edu.tw/handle/140.119/120178	-
dc.description.abstract	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	Taiwanese Journal of Mathematics, 15(4), 頁1721-1736
dc.subject	Semi-infinite programming ; Hull and White ; Interest rate model
dc.title	A deterministic approach for solving the Hull and White interest rate model.
dc.type	article
item.cerifentitytype	Publications	-
item.openairecristype	http://purl.org/coar/resource_type/c_18cf	-
item.openairetype	article	-
item.fulltext	With Fulltext	-
item.grantfulltext	restricted	-
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