The analysis and calibration of a multi-factor hull-white model.
This dissertation presents the formulation of a general n-factor Hull-White model based on a certain specification of forward rate volatility functions within the HJM model, its calibration to obtain the best-fit model parameters and a correlation analysis to explain the multi-factors effects on the...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Theses and Dissertations |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/7928 |
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| Institution: | Nanyang Technological University |
| Summary: | This dissertation presents the formulation of a general n-factor Hull-White model based on a certain specification of forward rate volatility functions within the HJM model, its calibration to obtain the best-fit model parameters and a correlation analysis to explain the multi-factors effects on the forward rate dynamics. |
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