Abstract
We present a new methodology for the calibration of the Hull-White model to US market prices with consistent curves. It falls into the general class of nonlinear multicriteria optimization problems and we show how this algorithm is able to build a set of dicrete Pareto points of the implied trade-off curve. We also evaluate its fitting capabilities against non-consistent traditional methods with very promising results.
Resumen
El objetivo de este trabajo es la presentación de una nueva metodología para la calibración del modelo de Hull-White mediante el empleo de curvas consistentes, y tomando como datos empíricos los precios del mercado norteamericano. La base de nuestra propuesta está basada en el empleo de una clase de problemas de optimización multicriterio no lineales. Comparamos además, la capacidad de ajuste del algoritmo frente a los métodos tradicionales, basados en el uso de curvas no consistentes, obteniendo unos resultados que avalan la eficiencia de la metodología propuesta.
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Falcó, A., Navarro, L. & Nave, J. The Hull-White model and multiobjective calibration with consistent curves: empirical evidence. Rev. R. Acad. Cien. Serie A. Mat. 103, 235–249 (2009). https://doi.org/10.1007/BF03191944
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DOI: https://doi.org/10.1007/BF03191944