基于正则化方法的Hull-White短期利率

Calibration Parameters for Hull-White Short term Rate Model Based on Regularization Method

摘要:

基于市场债券价格, 应用正则化方法对Hull-White短期利率模型中时间变量参数进行估计. 通过变分原理, 证明了该正则化方法具有稳定性和收敛性. 最后, 数值模拟确认该方法的有效性并给出实证结果.

Abstract:

Regularization method is applied to the calibration of the time varying parameters in Hull-White short term rate model based on bond prices in market. The method proves to be stable and convergent by variation principle. Finally, simulation numerical tests are coincided with the theoretical analysis and the empirical results come into being.