The Hull-White model and multiobjective calibration with consistent curves: empirical evidence.
A. Falcó; Ll. Navarro; J. Nave
RACSAM (2009)
- Volume: 103, Issue: 2, page 235-249
- ISSN: 1578-7303
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topFalcó, A., Navarro, Ll., and Nave, J.. "The Hull-White model and multiobjective calibration with consistent curves: empirical evidence.." RACSAM 103.2 (2009): 235-249. <http://eudml.org/doc/43691>.
@article{Falcó2009,
author = {Falcó, A., Navarro, Ll., Nave, J.},
journal = {RACSAM},
keywords = {consistent forward rate curves; multiobjective calibration; interest rate models},
language = {eng},
number = {2},
pages = {235-249},
title = {The Hull-White model and multiobjective calibration with consistent curves: empirical evidence.},
url = {http://eudml.org/doc/43691},
volume = {103},
year = {2009},
}
TY - JOUR
AU - Falcó, A.
AU - Navarro, Ll.
AU - Nave, J.
TI - The Hull-White model and multiobjective calibration with consistent curves: empirical evidence.
JO - RACSAM
PY - 2009
VL - 103
IS - 2
SP - 235
EP - 249
LA - eng
KW - consistent forward rate curves; multiobjective calibration; interest rate models
UR - http://eudml.org/doc/43691
ER -
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