کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
482096 | 1446124 | 2010 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model](/preview/png/482096.png)
چکیده انگلیسی
This work considers the solution of the Vasicek-type forward interest rate model. A deterministic process is adopted to model the random behavior of interest rate variation as a deterministic perturbation. It shows that the solution of the Vasicek-type forward interest rate model can be obtained by solving a nonlinear semi-infinite programming problem. A relaxed cutting plane algorithm is then proposed for solving the resulting optimization problem. The features of the proposed method are tested using a set of real data and compared with some commonly used spline fitting methods.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 204, Issue 2, 16 July 2010, Pages 343–354
Journal: European Journal of Operational Research - Volume 204, Issue 2, 16 July 2010, Pages 343–354
نویسندگان
Homing Chen, Cheng-Feng Hu,