Approximation and application of the Musiela stochastic PDE in forward rate models
DOI10.1080/00207160.2012.673596zbMATH Open1255.62316OpenAlexW1988519391MaRDI QIDQ4903547FDOQ4903547
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
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Cites Work
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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- Finite element and difference approximation of some linear stochastic partial differential equations
- Modeling the propagation of elastic waves using a modified finite difference grid.
- STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE‐DIMENSIONAL FORWARD RATES AND OPTION PRICING
- Spatial and spectral superconvergence of discontinuous Galerkin method for hyperbolic problems
- Error Estimates for Finite Element Methods for Scalar Conservation Laws
- Optimal numerical parameterization of discontinuous Galerkin method applied to wave propagation problems
- HEATH–JARROW–MORTON INTEREST RATE DYNAMICS AND APPROXIMATELY CONSISTENT FORWARD RATE CURVES
- Least squares moving finite elements
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