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 (Q1005306)
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scientific article; zbMATH DE number 5526399
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| English | 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 |
scientific article; zbMATH DE number 5526399 |
Statements
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 (English)
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9 March 2009
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Mathematical models
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Interest rates
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partial differential equations
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Numerical algorithms
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drift term
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probability density
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0.8024559020996094
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0.7543848156929016
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0.7476287484169006
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0.7466837763786316
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0.7439551949501038
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