On the resolution of the Vasicek-type interest rate model

DOI10.1080/02331930902944101zbMath1175.62112OpenAlexW2108476351MaRDI QIDQ3646089

Homing Chen, Cheng-Feng Hu

Publication date: 19 November 2009

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331930902944101

zbMATH Keywords

interest rate modelsemi-infinite programming

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90) Semi-infinite programming (90C34) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)

Related Items (1)

Some sufficient efficiency conditions in semiinfinite multiobjective fractional programming based on exponential type invexities

Cites Work

• Unnamed Item
• A Theory of the Term Structure of Interest Rates
• Simulated Moments Estimation of Markov Models of Asset Prices
• Semi-Infinite Programming: Theory, Methods, and Applications
• A cutting-plane method for quadratic semi infinite programming problems
• On estimating the diffusion coefficient from discrete observations
• Numerical treatment of a class of semi‐infinite programming problems
• An equilibrium characterization of the term structure

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