Calibration of stochastic models for interest rate derivatives

DOI10.1080/02331930902741796zbMath1159.91397OpenAlexW2045507531MaRDI QIDQ3625234

Martin Rainer

Publication date: 12 May 2009

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331930902741796

zbMATH Keywords

optimizationcalibrationstochastic modelsmathematical finance

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Optimization problems in thermodynamics and heat transfer (80M50) Matching models (91B68)

Related Items (2)

Stochastic processes adapted by neural networks with application to climate, energy, and finance ⋮ Neural network calibrated stochastic processes: forecasting financial assets

Cites Work

• An Algorithm for Least-Squares Estimation of Nonlinear Parameters
• The Market Model of Interest Rate Dynamics
• Pricing Interest-Rate-Derivative Securities

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