A preference free partial differential equation for the term structure of interest rates

DOI10.1007/BF02425802zbMath1153.91473OpenAlexW3125856871WikidataQ115392198 ScholiaQ115392198MaRDI QIDQ1000411

Nadima El-Hassan, Carl Chiarella

Publication date: 6 February 2009

Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02425802

zbMATH Keywords

term structure of interest ratesmethod of linespartial differential equationAmerican optionsfree boundary value problemspreference-free

Mathematics Subject Classification ID

Related Items (2)

Interest rate futures: estimation of volatility parameters in an arbitrage-free framework ⋮ A class of jump-diffusion bond pricing models within the HJM framework

Cites Work

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• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• One-Dimensional Parabolic Free Boundary Problems
• ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS¹
• WHEN IS THE SHORT RATE MARKOVIAN?
• A Free Boundary Problem Connected with the Optimal Stopping Problem for Diffusion Processes
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities

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