The Hull-White model and multiobjective calibration with consistent curves: empirical evidence

DOI10.1007/BF03191944zbMath1181.91313OpenAlexW1539275814MaRDI QIDQ5852465

Ll. Navarro, Juan M. Nave, Antonio Falcó

Publication date: 27 January 2010

Published in: Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/43691

zbMATH Keywords

interest rate modelsconsistent forward rate curvesmultiobjective calibration

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Multi-objective and goal programming (90C29) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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