Numerical treatment of an asset price model with non-stochastic uncertainty. (With comments and rejoinder). (Q699507)

For the calculation or the term structure of interest rates, the authors develop an approach used on linear dynamical systems under non-stochastic uncertainty with perturbations. The uncertainty is described in terms of known feasible sets of varying parameters. Observations are used in order to estimate these parameters by minimizing the maximum of the absolute value of measurement errors, which leads to a linear or nonlinear semi-infinite programming problem. A regularized logarithmic barrier method for solving convex semi-infinite programming problems is suggested. In this method a multi-step proximal regularization is compled with an adaptive discretization strategy in the framework of an interior point approach. Convergence of the method and its stability with respect to data perturbations in the cone of convex \(C^1\)-functions are studied. On the basis of the solutions of the semi-infinite programming problems a technical trading system for future contracts of the Germain DAX is suggested and developed. The paper is followed by the competent disscussions of some expert in this domain.