Hull-White模型中参数校准的正则化方法  

Regularization Method of Parameter Calibration in Hull-white Model

作　　者：赵芳芳[1] 闫俐[1] 李长京[2] 

机构地区：[1]中国人民大学信息学院,北京100872 [2]山东师范大学数学科学学院,山东济南250014

出　　处：《数学的实践与认识》2016年第16期162-171,共10页Mathematics in Practice and Theory

基　　金：国家自然科学基金(11171349;11571365;11526123)

摘　　要：基于Hull-White模型,研究由零息债券的市场价格进行参数校准的问题.构造函数将问题转化为正则化问题,并利用正则化方法得到解的存在性,稳定性和所满足的必要条件.最后利用必要条件进行数值计算,给出了数值模拟算例和实证分析,数值结果表明了方法中引入正则项的有效性,且改善了其参数的稳定性,具有实际意义.Based on Hull-White model, this paper concerns a problem of calibrating the parameter from the market prices of zero-coupon bonds. By constructing the function, translate the problem to the regularization problem and applying the regularization method, establish the existence and stability of the solution, give the necessary condition that the solution satisfies. Finally use the condition for numerical calculation and give a numerical example and the real analysis, the numerical results show that adding the regularization terms is effective, improves the stability of the parameter and has the practical significance.

关 键 词：HULL-WHITE模型 校准问题 正则化方法 

分 类 号：F830.91[经济管理—金融学] F224