On the resolution of the Vasicek-type interest rate model
DOI10.1080/02331930902944101zbMATH Open1175.62112OpenAlexW2108476351MaRDI QIDQ3646089FDOQ3646089
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
Recommendations
- scientific article; zbMATH DE number 5676625
- Properties of estimators of the parameters in a Vasicek interest rate model
- An analytic solution for a Vasicek interest rate convertible bond model
- scientific article; zbMATH DE number 1253582
- A relaxed cutting plane algorithm for solving the Vasicek-type interest rate model
- Invariant measure for the Vasicek interest rate model in the Heath-Jarrow-Morton-Musiela framework
- scientific article; zbMATH DE number 953313
- A note on the Flesaker-Hughston model of the term structure of interest rates
- A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model
- scientific article; zbMATH DE number 1911488
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)
Cites Work
- A theory of the term structure of interest rates
- Simulated Moments Estimation of Markov Models of Asset Prices
- An equilibrium characterization of the term structure
- Semi-Infinite Programming: Theory, Methods, and Applications
- On estimating the diffusion coefficient from discrete observations
- A cutting-plane method for quadratic semi infinite programming problems
- Numerical treatment of a class of semi‐infinite programming problems
- Title not available (Why is that?)
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
This page was built for publication: On the resolution of the Vasicek-type interest rate model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3646089)
