Perturbation solutions for bond-pricing equations under a multivariate CIR model with weak dependences

DOI10.1016/j.cam.2019.04.016zbMath1422.91727OpenAlexW2947453073WikidataQ127960307 ScholiaQ127960307MaRDI QIDQ2315839

Cheng-Hsun Wu

Publication date: 26 July 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2019.04.016

zbMATH Keywords

perturbation theoryRiccati equationszero-coupon bondmultivariate CIR model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)

Cites Work

• Bond pricing under mixed generalized CIR model with mixed Wishart volatility process
• A note on Gaussian estimation of the CKLS and CIR models with feedback effects for Japan
• Invariance properties of a general bond-pricing equation
• A survey and some generalizations of Bessel processes
• Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom
• Squared Bessel processes and their applications to the square root interest rate model
• A Theory of the Term Structure of Interest Rates
• Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis
• Affine Diffusion Processes: Theory and Applications
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Approximate Formulas for Zero‐coupon Bonds
• Some Properties of CIR Processes

This page was built for publication: Perturbation solutions for bond-pricing equations under a multivariate CIR model with weak dependences