A positive interest rate model with sticky barrier

DOI10.1080/14697680600999351zbMath1142.91530OpenAlexW2000196991MaRDI QIDQ5309001

Masaaki Kijima, Sofiane Rinaz, Youri M.Kabanov

Publication date: 9 October 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680600999351

zbMATH Keywords

finite difference methodspartial integro-differential equationShort-term interest rate modelszero-interest rate

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

Related Items (6)

Sticky Feller diffusions ⋮ Functional convergence to the local time of a sticky diffusion ⋮ Orthogonal intertwiners for infinite particle systems in the continuum ⋮ A multi-quality model of interest rates ⋮ Sticky Brownian Motion and Its Numerical Solution ⋮ Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate

Cites Work

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• The minimal entropy martingale measures for geometric Lévy processes
• A Theory of the Term Structure of Interest Rates
• The Market Model of Interest Rate Dynamics
• Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
• A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING
• An Interior Trust Region Approach for Nonlinear Minimization Subject to Bounds
• An equilibrium characterization of the term structure
• A simple regime switching term structure model

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