Efficient calibration of the Hull White model

DOI10.1002/oca.1000zbMath1277.93013OpenAlexW2045917352MaRDI QIDQ2864616

Sebastian Schlenkrich

Publication date: 26 November 2013

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.1000

zbMATH Keywords

automatic differentiationnonlinear equationsquasi-Newton methodsmultidimensional nonlinear optimization problemHull White modelBermudan bond optionsGauss Newton methodinterest rate modeling

Mathematics Subject Classification ID

Nonlinear programming (90C30) Nonlinear systems in control theory (93C10) Microeconomic theory (price theory and economic markets) (91B24)

Related Items

Calibration of one-factor and two-factor hull-white models using swaptions, Accurate Vega Calculation for Bermudan Swaptions

Uses Software

• ADOL-C
• minpack
• HYBRD

Cites Work

• Adjoint-based Monte Carlo calibration of financial methods
• Evaluating Derivatives
• Optimalr-order of an adjoint Broyden method without the assumption of linearly independent steps
• The “global” convergence of Broyden-like methods with suitable line search
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Algorithm 755: ADOL-C
• Pricing Interest-Rate-Derivative Securities