Efficient calibration of the Hull White model (Q2864616)
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scientific article; zbMATH DE number 6232518
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient calibration of the Hull White model |
scientific article; zbMATH DE number 6232518 |
Statements
Efficient calibration of the Hull White model (English)
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26 November 2013
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automatic differentiation
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interest rate modeling
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nonlinear equations
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quasi-Newton methods
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Hull White model
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Bermudan bond options
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Gauss Newton method
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multidimensional nonlinear optimization problem
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0.8999838
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0.8938185
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0.87762344
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0.8740928
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0.86730045
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