The analysis and calibration of a multi-factor hull-white model.

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: Chee, Geok Kee., Kumaradasan Ragudaran., Lim, Ang Guan.
Other Authors: Nanyang Business School
Format: Theses and Dissertations
Published: 2008
Subjects:
DRNTU::Business::Finance::Interest rates
Online Access:http://hdl.handle.net/10356/7928
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Institution: Nanyang Technological University
id sg-ntu-dr.10356-7928
record_format dspace
spelling sg-ntu-dr.10356-79282024-01-12T10:32:52Z The analysis and calibration of a multi-factor hull-white model. Chee, Geok Kee. Kumaradasan Ragudaran. Lim, Ang Guan. Nanyang Business School DRNTU::Business::Finance::Interest rates 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. Master of Science (Financial Engineering) 2008-09-18T07:53:44Z 2008-09-18T07:53:44Z 2001 2001 Thesis http://hdl.handle.net/10356/7928 Nanyang Technological University 90 p. application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
topic DRNTU::Business::Finance::Interest rates
spellingShingle DRNTU::Business::Finance::Interest rates
Chee, Geok Kee.
Kumaradasan Ragudaran.
Lim, Ang Guan.
The analysis and calibration of a multi-factor hull-white model.
description 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.
author2 Nanyang Business School
author_facet Nanyang Business School
Chee, Geok Kee.
Kumaradasan Ragudaran.
Lim, Ang Guan.
format Theses and Dissertations
author Chee, Geok Kee.
Kumaradasan Ragudaran.
Lim, Ang Guan.
author_sort Chee, Geok Kee.
title The analysis and calibration of a multi-factor hull-white model.
title_short The analysis and calibration of a multi-factor hull-white model.
title_full The analysis and calibration of a multi-factor hull-white model.
title_fullStr The analysis and calibration of a multi-factor hull-white model.
title_full_unstemmed The analysis and calibration of a multi-factor hull-white model.
title_sort analysis and calibration of a multi-factor hull-white model.
publishDate 2008
url http://hdl.handle.net/10356/7928
_version_ 1789483232990855168

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