Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/76080| DC Field | Value | Language |
|---|---|---|
| dc.contributor | 金融系 | |
| dc.creator | Chen, Homing;Hu, C.-F. | |
| dc.creator | 陳宏銘 | zh_TW |
| dc.date | 2010-07 | |
| dc.date.accessioned | 2015-06-29T09:02:21Z | - |
| dc.date.available | 2015-06-29T09:02:21Z | - |
| dc.date.issued | 2015-06-29T09:02:21Z | - |
| dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/76080 | - |
| dc.description.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. | |
| dc.format.extent | 1253227 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation | European Journal of Operational Research, 204(2), 343-354 | |
| dc.subject | Cutting plane algorithms; Deterministic perturbation; Deterministic process; Forward interest rate; Interest rates; Optimization problems; Random behavior; Semi infinite programming; Spline fitting | |
| dc.title | A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model | |
| dc.type | article | en |
| dc.identifier.doi | 10.1016/j.ejor.2009.09.012 | |
| dc.doi.uri | http://dx.doi.org/10.1016/j.ejor.2009.09.012 | |
| item.fulltext | With Fulltext | - |
| item.grantfulltext | restricted | - |
| item.cerifentitytype | Publications | - |
| item.openairetype | article | - |
| item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
| Appears in Collections: | 期刊論文 | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 343-354.pdf | 1.22 MB | Adobe PDF2 | View/Open |
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