scientific article; zbMATH DE number 6810161

zbMath1411.91547arXiv1607.04968MaRDI QIDQ4590698

Zuzana Bučková, Beata Stehlíková, Daniel Ševčovič

Publication date: 20 November 2017

Full work available at URL: https://arxiv.org/abs/1607.04968

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

stochastic differential equationinterest ratesbond pricingshort rate convergence models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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