A New Model for Interest Rates

DOI10.1142/S0219024998000114MaRDI QIDQ4216107zbMATH OpenOpenAlexFDO

Authors David Epstein, Paul Wilmott

Publication date 28 December 1998

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024998000114

zbMATH Keywords

first-order nonlinear hyperbolic partial differential equationportfolio of cash flowsvaluation of fixed income security portfolios

Mathematics Subject Classification ID

Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A theory of the term structure of interest rates
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• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model

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• Interest rate modeling without probabilities
• scientific article; zbMATH DE number 1462625 (Why is no real title available?)
• UNCERTAINTY VERSUS RANDOMNESS: MINIMIZING MODEL DEPENDENCE
• Optimal algorithms for \(k\)-search with application in option pricing

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