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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

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