Journals
  Publication Years
  Keywords
Search within results Open Search
Please wait a minute...
For Selected: Toggle Thumbnails
Calibration Parameters in Non.Guassian 0ne.factor Short-term Rate Model with Regularization Method
JIANG Liang, XU Chenglong
CHINESE JOURNAL OF COMPUTATIONAL PHYSICS    2012, 29 (6): 837-844.  
Abstract283)      PDF (579KB)(1077)      
Basing on regularization method,we propose an efficient method for calibrating time-varying parameters in non-Gaussian one-factor short-term rate model with constraineds.Stability and convergence are proved with variational principle。For computational convenience,penalty method and smoothing operator are applied to transform a constrained inverse problem into one without constraints.Finally,theoretical analysis is shown valid by means of numerical simulations.Empirical results is earried out.
Related Articles | Metrics