A numerical approach to obtain the yield curves with different risk-neutral drifts

DOI10.1016/J.MCM.2010.11.079zbMATH Open1235.91167OpenAlexW1986982533MaRDI QIDQ409791FDOQ409791

Authors: L. Gómez-Valle, J. Martínez-Rodríguez 

Publication date: 15 April 2012

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2010.11.079

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zbMATH Keywords

parametric estimationnumerical methodsterm structure of interest ratesrisk-neutral drift

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• A theory of the term structure of interest rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure
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