A method for computing the transition probability density associated with a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term

DOI10.1016/J.NAHS.2007.07.002zbMath1168.35380OpenAlexW2131643456MaRDI QIDQ1005306

Maria Cristina Recchioni, Lorella Fatone, Francesco Zirilli, Graziella Pacelli

Publication date: 9 March 2009

Published in: Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nahs.2007.07.002

zbMATH Keywords

Mathematical modelsprobability densitypartial differential equationsNumerical algorithmsdrift termInterest rates

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Uses Software

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