A three-factor convergence model of interest rates

zbMATH Open1278.91174MaRDI QIDQ2867813FDOQ2867813

Authors: Beáta Stehlíková, Zuzana Zíková 

Publication date: 20 December 2013

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zbMATH Keywords

closed-form solutionpartial differential equationinterest rateanalytic approximationorder of accuracybond priceconvergence model

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Initial value problems for second-order parabolic equations (35K15) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (7)

• Three-factor interest rate models
• Accuracy of analytical approximation formula for bond prices in a three-factor convergence model of interest rates
• Numerical and analytical methods for bond pricing in short rate convergence models of interest rates
• On the bond pricing partial differential equation in a convergence model of interest rates with stochastic correlation
• Convergence model of interest rates of CKLS type
• Estimating the domestic short rate in a convergence model of interest rates
• A convergence model of the term structure of interest rates

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