Perturbation analysis of a nonlinear equation arising in the Schaefer-Schwartz model of interest rates

DOI10.1515/MS-2017-0129zbMath1441.91081arXiv1410.6321OpenAlexW2963110388WikidataQ129782459 ScholiaQ129782459MaRDI QIDQ4643587

Beata Stehlíková

Publication date: 24 May 2018

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

Full work available at URL: https://arxiv.org/abs/1410.6321

zbMATH Keywords

asymptotic expansionnonlinear equationbond priceinterest rate spreadinterest rates modellong-term rate

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical computation of solutions to single equations (65H05) Ordinary differential equations and systems with randomness (34F05) Asymptotic expansions of solutions to ordinary differential equations (34E05)

Cites Work

• AN EFFECTIVE APPROXIMATION FOR ZERO-COUPON BONDS AND ARROW–DEBREU PRICES IN THE BLACK–KARASINSKI MODEL

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