On the resolution of the Vasicek-type interest rate model

DOI10.1080/02331930902944101MaRDI QIDQ3646089zbMATH OpenOpenAlexFDO

Authors Homing Chen, Cheng-Feng Hu

Publication date 19 November 2009

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331930902944101

zbMATH Keywords

semi-infinite programminginterest rate model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Semi-infinite programming (90C34)

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Cites work

• scientific article; zbMATH DE number 1868935 (Why is no real title available?)
• A cutting-plane method for quadratic semi infinite programming problems
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Numerical treatment of a class of semi‐infinite programming problems
• On estimating the diffusion coefficient from discrete observations
• Semi-Infinite Programming: Theory, Methods, and Applications
• Simulated Moments Estimation of Markov Models of Asset Prices

Cited in

(9)

• Some sufficient efficiency conditions in semiinfinite multiobjective fractional programming based on exponential type invexities
• Numerical treatment of an asset price model with non-stochastic uncertainty. (With comments and rejoinder).
• A relaxed cutting plane algorithm for solving the Vasicek-type interest rate model
• A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model
• A deterministic approach for solving the Hull and White interest rate model
• Application of triangular functions for solving the Vasicek model
• An optimization model for extracting forward interest rates from a dynamical systems under financial uncertainty
• Modelling 1-month Euribor interest rate by using differential equations with uncertainty
• A Vasicek-type short rate model with memory effect

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