Solutions of two-factor models with variable interest rates

DOI10.1016/J.CAM.2007.10.014MaRDI QIDQ952075zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

numerical simulationtwo-factor modelsvariable interest rate

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Parabolic equations and parabolic systems (35K99)

Recommendations

• Problems in certain two-factor term structure models
• Embedding the Vasicek model into the Cox-Ingersoll-Ross model
• Pricing interest-rate-derivative securities
• scientific article; zbMATH DE number 2160558
• NUMERICAL SOLUTION OF TWO-FACTOR MODELS FOR VALUATION OF FINANCIAL DERIVATIVES

Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• NUMERICAL SOLUTION OF TWO-FACTOR MODELS FOR VALUATION OF FINANCIAL DERIVATIVES
• The Mathematics of Financial Derivatives
• Two-factor convertible bonds valuation using the method of characteristics/finite elements

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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