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https://ah.lib.nccu.edu.tw/handle/140.119/76080| 題名: | A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model | 作者: | Chen, Homing;Hu, C.-F. 陳宏銘 |
貢獻者: | 金融系 | 關鍵詞: | Cutting plane algorithms; Deterministic perturbation; Deterministic process; Forward interest rate; Interest rates; Optimization problems; Random behavior; Semi infinite programming; Spline fitting | 日期: | Jul-2010 | 上傳時間: | 29-Jun-2015 | 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. | 關聯: | European Journal of Operational Research, 204(2), 343-354 | 資料類型: | article | DOI: | http://dx.doi.org/10.1016/j.ejor.2009.09.012 |
| Appears in Collections: | 期刊論文 |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| 343-354.pdf | 1.22 MB | Adobe PDF2 | View/Open |
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