An inverse problem arisen in the zero-coupon bond pricing

DOI10.1016/J.NONRWA.2009.02.011MaRDI QIDQ974534zbMATH OpenOpenAlexFDO

Authors Zui-Cha Deng, Jianning Yu, Liu Yang

Publication date 3 June 2010

Published in Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.nonrwa.2009.02.011

zbMATH Keywords

inverse problemstabilityexistenceoptimal controluniquenessmarket price of riskzero-coupon bond

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs in connection with control and optimization (35Q93) Inverse problems for PDEs (35R30) PDEs with randomness, stochastic partial differential equations (35R60) Existence theories for optimal control problems involving partial differential equations (49J20)

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Cites work

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• scientific article; zbMATH DE number 936298 (Why is no real title available?)
• A new well-posed algorithm to recover implied local volatility
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• Identifying the volatility of underlying assets from option prices
• Inverse problems for partial differential equations
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• On the nature of ill-posedness of an inverse problem arising in option pricing
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• Parameter determination in a partial differential equation from the overspecified data
• Solving an inverse parabolic problem by optimization from final measurement data
• The inverse problem of option pricing
• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets

Cited in

(7)

• Methods of bond pricing and the market price of the interest rate risk
• Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations
• Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources
• Inverse problems to estimate market price of risk in catastrophe bonds
• Analysis of a finite volume element method for a degenerate parabolic equation in the zero-coupon bond pricing
• Reconstruction of local volatility surface from American options
• An inverse problem of zero-coupon bond pricing

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