Solutions of two-factor models with variable interest rates
DOI10.1016/J.CAM.2007.10.014zbMATH Open1152.91530OpenAlexW1988274297MaRDI QIDQ952075FDOQ952075
Authors: B. E. Eshmatov 
Publication date: 6 November 2008
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.2007.10.014
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Cites Work
- A theory of the term structure of interest rates
- Title not available (Why is that?)
- An equilibrium characterization of the term structure
- The Mathematics of Financial Derivatives
- Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
- Two-factor convertible bonds valuation using the method of characteristics/finite elements
- NUMERICAL SOLUTION OF TWO-FACTOR MODELS FOR VALUATION OF FINANCIAL DERIVATIVES
Cited In (7)
- Problems in certain two-factor term structure models
- An analytic solution for a Vasicek interest rate convertible bond model
- Embedding the Vasicek model into the Cox-Ingersoll-Ross model
- Perturbation solutions for bond-pricing equations under a multivariate CIR model with weak dependences
- Incorporating boundary conditions in a stochastic volatility model for the numerical approximation of bond prices
- On a volatility averaging in a two-factor interest rate model
- Valuation of two-factor interest rate contingent claims using Green's theorem
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