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https://hdl.handle.net/10356/7928| Title: | The analysis and calibration of a multi-factor hull-white model. | Authors: | Chee, Geok Kee. Kumaradasan Ragudaran. Lim, Ang Guan. |
Keywords: | DRNTU::Business::Finance::Interest rates | Issue Date: | 2001 | Abstract: | 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. | URI: | http://hdl.handle.net/10356/7928 | Schools: | Nanyang Business School | Rights: | Nanyang Technological University | Fulltext Permission: | restricted | Fulltext Availability: | With Fulltext |
| Appears in Collections: | NBS Theses |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| NBS-THESES_95.pdf Restricted Access | 2.94 MB | Adobe PDF | View/Open |
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