An artificial boundary method for the Hull-White model of American interest rate derivatives.
Hoi Ying WongJing ZhaoPublished in: Appl. Math. Comput. (2011)
Keyphrases
- statistical model
- mathematical model
- prior knowledge
- theoretical analysis
- objective function
- prediction model
- markov model
- probabilistic model
- study proposes
- parameter estimation
- modeling method
- linear regression
- input data
- test data
- evaluation method
- similarity measure
- closed form
- sensitivity analysis
- prior information
- analytical model
- network model
- linear model
- hybrid model
- kalman filter
- classification algorithm
- em algorithm
- cost function
- computational complexity
- optimization method
- high order
- classification method
- detection method
- dynamic programming
- reconstruction method
- pairwise
- petri net
- clustering method
- significant improvement
- evaluation model