On the valuation of interest rate products under multi-factor HJM term-structures-Reference-Cited by-同舟云学术

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On the valuation of interest rate products under multi-factor HJM term-structures

Published:2009-12 Issue:12 Volume:59 Page:2873-2890
ISSN:0168-9274
Container-title:Applied Numerical Mathematics
language:en
Short-container-title:Applied Numerical Mathematics

Author:

Marcozzi Michael D.

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics,Numerical Analysis

Reference29 articles.

1. Handbook of Mathematical Functions;Abromowitz,1964

2. Sobolev Spaces;Adams,1975

3. A posteriori finite element error estimation for diffusion problems;Adjerid;SIAM J. Sci. Comput.,1999

4. Financial Calculus, An Introduction to Derivative Pricing;Baxter,1996

5. Application of Variational Inequalities in Stochastic Control;Bensoussan,1982

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1. An Uncertain Exponential Ornstein–Uhlenbeck Interest Rate Model with Uncertain CIR Volatility;Bulletin of the Iranian Mathematical Society;2019-12-03

2. Interest rate model in uncertain environment based on exponential Ornstein–Uhlenbeck equation;Soft Computing;2016-09-13

3. Valuation of interest rate ceiling and floor in uncertain financial market;Fuzzy Optimization and Decision Making;2015-07-09

4. Numerical integration of the Heath-Jarrow-Morton model of interest rates;IMA Journal of Numerical Analysis;2013-05-06

5. Numerical Integration of Heath-Jarrow-Morton Model of Interest Rates;SSRN Electronic Journal;2011

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