On the singular limit of solutions to the CIR interest rate model with stochastic volatility

zbMath1196.60109arXiv0811.0591MaRDI QIDQ3552444

Beata Stehlíková, Daniel Ševčovič

Publication date: 22 April 2010

Full work available at URL: https://arxiv.org/abs/0811.0591

zbMATH Keywords

asymptotic expansionCox-Ingersoll-Ross two factor modelrapidly oscillating volatilitysingular limit of solution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Singular perturbations in context of PDEs (35B25) Heat equation (35K05) Asymptotic expansions of solutions to PDEs (35C20)

Related Items (1)

Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing

Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• Mathematical models of financial derivatives
• A Theory of the Term Structure of Interest Rates
• Pricing Interest-Rate-Derivative Securities
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