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    题名: A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model
    作者: Chen, Homing;Hu, C.-F.
    陳宏銘
    贡献者: 金融系
    关键词: Cutting plane algorithms;Deterministic perturbation;Deterministic process;Forward interest rate;Interest rates;Optimization problems;Random behavior;Semi infinite programming;Spline fitting
    日期: 2010-07
    上传时间: 2015-06-29 17:02:21 (UTC+8)
    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
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1016/j.ejor.2009.09.012
    DOI: 10.1016/j.ejor.2009.09.012
    显示于类别:[金融學系] 期刊論文

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