Efficient calibration of the Hull White model
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Publication:2864616
DOI10.1002/oca.1000zbMath1277.93013OpenAlexW2045917352MaRDI QIDQ2864616
Publication date: 26 November 2013
Published in: Optimal Control Applications and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/oca.1000
automatic differentiationnonlinear equationsquasi-Newton methodsmultidimensional nonlinear optimization problemHull White modelBermudan bond optionsGauss Newton methodinterest rate modeling
Nonlinear programming (90C30) Nonlinear systems in control theory (93C10) Microeconomic theory (price theory and economic markets) (91B24)
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Cites Work
- Adjoint-based Monte Carlo calibration of financial methods
- Evaluating Derivatives
- Optimalr-order of an adjoint Broyden method without the assumption of linearly independent steps
- The “global” convergence of Broyden-like methods with suitable line search
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Algorithm 755: ADOL-C
- Pricing Interest-Rate-Derivative Securities
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