The hull-white model and multiobjective calibration with consistent curves: Empirical evidence [El Modelo de hull-white y la calibración multiobjetivo con curvas consistentes: Evidencia empírica]

被引：0

作者：

Falćo A. ^{[1
]}

Navarro L. ^{[1
]}

Nave J. ^{[2
]}

机构：

[1] Departamento de Ciencias Físicas, Matemáticas y de la Computación, Universidad CEU Cardenal Herrera, 46115 Alfara del Patriarca, Valencia, San Bartolomé

[2] Departamento de Economía y Empresa, Universidad CEU Cardenal Herrera, 46115 Alfara del Patriarca, Valencia, Luis Vives

来源：

RACSAM - Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas | 2009年 / 103卷 / 2期

关键词：

Consistent forward rate curves; Interest rate models; Multiobjective calibration;

D O I：

10.1007/BF03191944

中图分类号：

学科分类号：

摘要：

We present a new methodology for the calibration of the Hull-White model to US market prices with consistent curves. It falls into the general class of nonlinear multicriteria optimization problems and we show how this algorithm is able to build a set of dicrete Pareto points of the implied trade-off curve. We also evaluate its fitting capabilities against non-consistent traditional methods with very promising results. © 2009 Real Academia de Ciencias, Espa ña.

引用

页码：235 / 249

页数：14