Please use this identifier to cite or link to this item:
https://ah.nccu.edu.tw/handle/140.119/75815
|
| Title: | A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model |
| Authors: | Chen, Homing 陳宏銘 |
| Contributors: | 金融系 |
| Keywords: | Cutting plane algorithms;Deterministic perturbation;Deterministic process;Forward interest rate;Interest rates;Optimization problems;Random behavior;Semi infinite programming;Spline fitting |
| Date: | 2010-07 |
| Issue Date: | 2015-06-15 17:46:20 (UTC+8) |
| Abstract: | 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. |
| Relation: | European Journal of Operational Research,Volume 204, Issue 2, Pages 343-354 |
| Data Type: | article |
| DOI 連結: | http://dx.doi.org/10.1016/j.ejor.2009.09.012 |
| Appears in Collections: | [金融學系] 期刊論文 |
Files in This Item:
|
All items in 學術集成 are protected by copyright, with all rights reserved.
| 社群 sharing |