Solutions of two-factor models with variable interest rates

DOI10.1016/j.cam.2007.10.014zbMath1152.91530OpenAlexW1988274297MaRDI QIDQ952075

B. E. Eshmatov

Publication date: 6 November 2008

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2007.10.014

zbMATH Keywords

numerical simulationtwo-factor modelsvariable interest rate

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Parabolic equations and parabolic systems (35K99) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

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• Two-factor convertible bonds valuation using the method of characteristics/finite elements
• A Theory of the Term Structure of Interest Rates
• NUMERICAL SOLUTION OF TWO-FACTOR MODELS FOR VALUATION OF FINANCIAL DERIVATIVES
• The Mathematics of Financial Derivatives
• An equilibrium characterization of the term structure

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