On the valuation of interest rate products under multi-factor HJM term-structures

DOI10.1016/J.APNUM.2009.04.011zbMath1204.91130OpenAlexW2092231905MaRDI QIDQ731956

Michael D. Marcozzi

Publication date: 9 October 2009

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2009.04.011

zbMATH Keywords

stochastic partial differential equationsfinite elements methodsinfinite dimensional optimal stoppinginterest rate products

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Optimal stopping in statistics (62L15)

Related Items (3)

An uncertain exponential Ornstein-Uhlenbeck interest rate model with uncertain CIR volatility ⋮ Valuation of interest rate ceiling and floor in uncertain financial market ⋮ Interest rate model in uncertain environment based on exponential Ornstein-Uhlenbeck equation

Cites Work

• A numerical analysis of variational valuation techniques for derivative securities
• Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
• On the approximation of infinite dimensional optimal stopping problems with application to mathematical finance
• Far Field Boundary Conditions for Black--Scholes Equations
• On the Approximation of Optimal Stopping Problems with Application to Financial Mathematics
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
• A Posteriori Finite Element Error Estimation for Diffusion Problems
• Ergodicity for Infinite Dimensional Systems
• Numerical solution of parabolic equations in high dimensions
• Equivalent Norms for Sobolev Spaces
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: On the valuation of interest rate products under multi-factor HJM term-structures