Efficient calibration of the Hull White model (Q2864616)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient calibration of the Hull White model |
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Efficient calibration of the Hull White model (English)
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26 November 2013
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automatic differentiation
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interest rate modeling
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nonlinear equations
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quasi-Newton methods
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Hull White model
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Bermudan bond options
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Gauss Newton method
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multidimensional nonlinear optimization problem
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