A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model

DOI10.1016/j.ejor.2009.09.012zbMath1178.90328OpenAlexW2019142724MaRDI QIDQ2655624

Cheng-Feng Hu, Homing Chen

Publication date: 25 January 2010

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2009.09.012

zbMATH Keywords

semi-infinite programmingforward interest rate

Mathematics Subject Classification ID

Semi-infinite programming (90C34) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items

A cyclical square-root model for the term structure of interest rates ⋮ Vasicek model with mixed-exponential jumps and its applications in finance and insurance ⋮ Pricing and risk management of interest rate swaps

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