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Keywords: Calibration
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Journal Articles
High-dimensional parameter calibration of interest rate model for the Korean insurance capital standard
Open Access
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2025) 33 (1): 23–44.
Published: 13 March 2025
...Bong-Gyu Jang; Seung Min Baik; Changhui Choi We propose a method for calibrating high-dimensional parameters in the Hull–White one-factor model using market prices of swaptions, aimed at generating mark-to-market interest rate scenarios in the Korean insurance industry. Our approach integrates...
