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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| Other Authors: | |
| Format: | Thesis |
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2008
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| Online Access: | http://hdl.handle.net/10356/7928 |
| _version_ | 1824456441364217856 |
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| author | Chee, Geok Kee. Kumaradasan Ragudaran. Lim, Ang Guan. |
| author2 | Nanyang Business School |
| author_facet | Nanyang Business School Chee, Geok Kee. Kumaradasan Ragudaran. Lim, Ang Guan. |
| author_sort | Chee, Geok Kee. |
| collection | NTU |
| 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. |
| first_indexed | 2025-02-19T03:54:09Z |
| format | Thesis |
| id | ntu-10356/7928 |
| institution | Nanyang Technological University |
| last_indexed | 2025-02-19T03:54:09Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-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 |
| 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. |
| title | 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_short | The analysis and calibration of a multi-factor hull-white model. |
| title_sort | analysis and calibration of a multi factor hull white model |
| topic | DRNTU::Business::Finance::Interest rates |
| url | http://hdl.handle.net/10356/7928 |
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