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.2007.07.002MaRDI QIDQ1005306zbMATH OpenOpenAlexFDO

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

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

drift termInterest ratesMathematical modelsNumerical algorithmspartial differential equationsprobability density

Mathematics Subject Classification ID

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

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A hybrid method for pricing European options based on multiple assets with transaction costs
• A theory of the term structure of interest rates
• Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom
• scientific article; zbMATH DE number 2133111 (Why is no real title available?)
• scientific article; zbMATH DE number 3479988 (Why is no real title available?)
• Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory
• Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds
• Monte Carlo methods for security pricing
• PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL
• PRICING BARRIER OPTIONS WITH SQUARE ROOT PROCESS
• Quadrature formulae
• Two singular diffusion problems
• Volatility skews and extensions of the Libor market model

Cited in

(3)

• A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates
• Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation
• Error bounds for the perturbation solution of the transition density under a multi-factor CIR term structure model with weak mean-reversion effect

Describes a project that uses

Uses Software

• Mathematica

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