A method for computing the transition probability density associated with a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term

DOI10.1016/j.nahs.2007.07.002zbMath1168.35380OpenAlexW2131643456MaRDI QIDQ1005306

Maria Cristina Recchioni, Lorella Fatone, Francesco Zirilli, Graziella Pacelli

Publication date: 9 March 2009

Published in: Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nahs.2007.07.002

zbMATH Keywords

Mathematical modelsprobability densitypartial differential equationsNumerical algorithmsdrift termInterest rates

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (2)

Error bounds for the perturbation solution of the transition density under a multi-factor CIR term structure model with weak mean-reversion effect ⋮ Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation

Uses Software

• Mathematica

Cites Work

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