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

doi:10.3969/j.issn.0253-374x.2012.10.026

Home > Archive>Volume 40, Issue 10, 2012 >1577-1581. DOI:10.3969/j.issn.0253-374x.2012.10.026

Calibration Parameters for Hull-White Short term Rate Model Based on Regularization Method
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                        10.3969/j.issn.0253-374x.2012.10.026
                    
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                        JIANG LiangJIANG Liang
Department of Mathematics, Tongji University, Shanghai 200092, China;Department of Mathematics, Putian University, Putian 351100, China
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XIN DingyaoXIN Dingyao
Center of Educational Technology and Computing, Tongji University, Shanghai 20092, China
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Clc Number:F832.5; O241.83
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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.

Key words:Hull-White short term rate model; regularization method; zero coupon bond

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JIANG Liang, XIN Dingyao. Calibration Parameters for Hull-White Short term Rate Model Based on Regularization Method[J].同济大学学报(自然科学版),2012,40(10):1577~1581

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Received:December 14,2011
Revised:June 28,2012
Adopted:May 14,2012
Online: October 26,2012
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