Accuracy of analytical approximation formula for bond prices in a three-factor convergence model of interest rates

DOI10.5937/MATMOR2401029JMaRDI QIDQ6582152FDOQ6582152

Authors: Michal Jánoši, Beáta Stehlíková 

Publication date: 2 August 2024

Published in: Mathematica Moravica (Search for Journal in Brave)

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zbMATH Keywords

approximate analytical solutionorder of accuracyshort rateconvergence modelbond-pricing partial differential equation

Mathematics Subject Classification ID

Second-order parabolic equations (35K10) Theoretical approximation in context of PDEs (35A35)

Cites Work

• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Interest rate models -- theory and practice. With smile, inflation and credit
• Mathematical models of financial derivatives
• A three-factor convergence model of interest rates
• Convergence model of interest rates of CKLS type
• Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion
• Short rate as a sum of two CKLS-type processes

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