Approximation and application of the Musiela stochastic PDE in forward rate models

DOI10.1080/00207160.2012.673596MaRDI QIDQ4903547zbMATH OpenOpenAlexFDO

Authors J. Choi, Max Gunzburger

Publication date 22 January 2013

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2012.673596

zbMATH Keywords

error analysisstochastic PDEMusiela equationSUPG finite element methods

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3596197 (Why is no real title available?)
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Error Estimates for Finite Element Methods for Scalar Conservation Laws
• Finite element and difference approximation of some linear stochastic partial differential equations
• HEATH–JARROW–MORTON INTEREST RATE DYNAMICS AND APPROXIMATELY CONSISTENT FORWARD RATE CURVES
• Least squares moving finite elements
• Modeling the propagation of elastic waves using a modified finite difference grid.
• Optimal numerical parameterization of discontinuous Galerkin method applied to wave propagation problems
• STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE‐DIMENSIONAL FORWARD RATES AND OPTION PRICING
• Spatial and spectral superconvergence of discontinuous Galerkin method for hyperbolic problems

Cited in

(1)

• Meshless approach for pricing Islamic Ijarah under stochastic interest rate models

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