On the bond pricing partial differential equation in a convergence model of interest rates with stochastic correlation

DOI10.1515/MS-2017-0408zbMath1479.91418OpenAlexW3073077197WikidataQ114052788 ScholiaQ114052788MaRDI QIDQ2057871

Beata Stehlíková

Publication date: 7 December 2021

Published in: Mathematica Slovaca (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/ms-2017-0408

zbMATH Keywords

series expansionbond priceinterest ratestochastic correlationconvergence model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Multivariate Jacobi process with application to smooth transitions
• Interest rate models -- theory and practice. With smile, inflation and credit
• Mathematical models of financial derivatives
• ON THE HESTON MODEL WITH STOCHASTIC CORRELATION
• A Convergence Model of the Term Structure of Interest Rates*
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stochastic differential equations. An introduction with applications.

This page was built for publication: On the bond pricing partial differential equation in a convergence model of interest rates with stochastic correlation