A three-factor convergence model of interest rates

MaRDI QIDQ2867813zbMATH OpenFDO

Authors Beáta Stehlíková, Zuzana Zíková

Publication date 20 December 2013

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)

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(7)

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• Estimating the domestic short rate in a convergence model of interest rates
• Accuracy of analytical approximation formula for bond prices in a three-factor convergence model of interest rates
• A convergence model of the term structure of interest rates
• Numerical and analytical methods for bond pricing in short rate convergence models of interest rates

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