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

DOI10.1016/J.MCM.2010.11.079MaRDI QIDQ409791zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

numerical methodsparametric estimationrisk-neutral driftterm structure of interest rates

Mathematics Subject Classification ID

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

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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
• scientific article; zbMATH DE number 702539 (Why is no real title available?)
• scientific article; zbMATH DE number 852307 (Why is no real title available?)
• scientific article; zbMATH DE number 3215568 (Why is no real title available?)

Cited in

(2)

• The role of the risk-neutral jump size distribution in single-factor interest rate models
• Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models

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