政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/120178

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113648/144635 (79%)
Visitors : 51575651 Online Users : 832

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/120178

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

Title:	A deterministic approach for solving the Hull and White interest rate model.
Authors:	陳宏銘 Chen, Homing 胡承方 Hu, Cheng-Feng
Contributors:	金融系
Keywords:	Semi-infinite programming;Hull and White;Interest rate model
Date:	2011-08
Issue Date:	2018-09-27 17:05:25 (UTC+8)
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.
Relation:	Taiwanese Journal of Mathematics, 15(4), 頁1721-1736
Data Type:	article
Appears in Collections:	[金融學系] 期刊論文

Files in This Item:

File	Description	Size	Format
1500406375.pdf		155Kb	Adobe PDF2	297	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...