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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: http://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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