A New Model for Interest Rates

DOI10.1142/S0219024998000114zbMath0909.90021OpenAlexW2099361291MaRDI QIDQ4216107

Paul Wilmott, David Epstein

Publication date: 28 December 1998

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024998000114

zbMATH Keywords

first-order nonlinear hyperbolic partial differential equationportfolio of cash flowsvaluation of fixed income security portfolios

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Related Items (4)

UNCERTAINTY VERSUS RANDOMNESS: MINIMIZING MODEL DEPENDENCE ⋮ Optimal algorithms for \(k\)-search with application in option pricing ⋮ RENORMALIZATION OF BLACK-SCHOLES EQUATION FOR STOCHASTICALLY FLUCTUATING INTEREST RATE ⋮ A NOTE ON THE PRICING OF INDEX AMORTISING RATE SWAPS IN A WORST-CASE SCENARIO

Cites Work

• A Theory of the Term Structure of Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model

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