Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation

DOI10.1080/13504860802584004zbMath1179.91247OpenAlexW2117479409MaRDI QIDQ3652693

Erik Ekström, Johan Tysk, Per Loetstedt

Publication date: 16 December 2009

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860802584004

zbMATH Keywords

finite difference methodstochastic representationdegenerate parabolic equationsterm structure equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Degenerate parabolic equations (35K65) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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• Solving Ordinary Differential Equations I
• An Intertemporal General Equilibrium Model of Asset Prices
• A numerical PDE approach for pricing callable bonds
• FEYNMAN–KAC FORMULAS FOR BLACK–SCHOLES-TYPE OPERATORS
• Interest rate models -- theory and practice

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