Numerical techniques for pricing callable bonds with notice
From MaRDI portal
Publication:1764750
DOI10.1016/J.AMC.2003.12.079zbMath1089.91021OpenAlexW2045784529MaRDI QIDQ1764750
Carlos Vázquez, José-Miguel Farto
Publication date: 22 February 2005
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2003.12.079
Finite elementsNumerical methodsCharacteristics approximationInterest rate modelsNoticeable callable bonds
Related Items (6)
Evaluating callable and putable bonds: an eigenfunction expansion approach ⋮ A spectral method for bonds ⋮ A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty ⋮ Standard Galerkin formulation with high order Lagrange finite elements for option markets pricing ⋮ Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods ⋮ Error Estimates for Lagrange--Galerkin Approximation of American Options Valuation
Cites Work
- Unnamed Item
- Unnamed Item
- Finite element solution of diffusion problems with irregular data
- An upwind approach for an American and European option pricing model
- Finite elements and characteristics for some parabolic-hyperbolic problems
- On the transport-diffusion algorithm and its applications to the Navier-Stokes equations
- Far Field Boundary Conditions for Black--Scholes Equations
- A Theory of the Term Structure of Interest Rates
- NUMERICAL SOLUTION OF TWO-FACTOR MODELS FOR VALUATION OF FINANCIAL DERIVATIVES
- Stability of the Lagrange-Galerkin method with non-exact integration
- PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION
- Elementary Stochastic Calculus, with Finance in View
- Some mathematical results in the pricing of American options
- A high-order characteristics/finite element method for the incompressible Navier-Stokes equations
- A numerical PDE approach for pricing callable bonds
- The Mathematics of Financial Derivatives
- An equilibrium characterization of the term structure
- A summary of numerical methods for time-dependent advection-dominated partial differential equations
- Interest rate models -- theory and practice
This page was built for publication: Numerical techniques for pricing callable bonds with notice