A PDE based implementation of the Hull\,\&\,White model for cash flow derivatives

DOI10.1007/BF03354607zbMath1039.91029MaRDI QIDQ1424651

Willi Schwarz, Sascha Meyer

Publication date: 16 March 2004

Published in: Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

geometric approachinvariant manifoldbackward heat equationBermudian option

Mathematics Subject Classification ID

Cites Work

• Interest Rate Dynamics and Consistent Forward Rate Curves
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• The Market Model of Interest Rate Dynamics
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Linear integral equations
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