Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence

DOI10.1016/J.CAM.2024.115899MaRDI QIDQ6567317zbMATH OpenFDO

Authors Cheng-Hsun Wu

Publication date 4 July 2024

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.CAM.2024.115899

zbMATH Keywords

perturbation methodRiccati equationsconditional momentsterm structure modelmultifactor CIR model

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Numerical methods (including Monte Carlo methods) (91G60) Error bounds for numerical methods for ordinary differential equations (65L70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Perturbations, asymptotics of solutions to ordinary differential equations (34E10)

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Cites work

• scientific article; zbMATH DE number 1432782 (Why is no real title available?)
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• Perturbation solutions for bond-pricing equations under a multivariate CIR model with weak dependences
• Spectral GMM estimation of continuous-time processes
• Squared Bessel processes and their applications to the square root interest rate model

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