TY - GEN A1 - Kolodko, Anastasia A1 - Schoenmakers, John T1 - Iterative construction of the optimal Bermudan stopping time N2 - In this project we propose the use of some widespread prediction techniques in the last few years for modeling derivatives. In order to do that, we have reviewed the state-of-the-art of the prediction models dealing with stochastic processes. In the oil futures sector, Schwartz suggested a model in which the oil futures price was split in two factors: the long-term equilibrium price and the short-term variations. As a result, we propose a Hull-White discrete-time two-factor interest rate model, whose factors are the short and the long term. Y1 - 2004 UR - https://opus4.kobv.de/opus4-matheon/frontdoor/index/index/docId/136 UR - https://nbn-resolving.org/urn:nbn:de:0296-matheon-1366 ER -