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ArticleA spectral method for bonds

Javier de Frutos2006

Article2006

A spectral method for bonds

Javier de Frutos

25 citations·0/0 files stored·Computers & Operations Research

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Stochastic processes and financial applications Mathematical functions and polynomials Numerical methods for differential equations

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References

1985A Theory of the Term Structure of Interest Rates 2007Brownian Motion and Stochastic Calculus 1977An equilibrium characterization of the term structure 1990Pricing Interest-Rate-Derivative Securities 1991Brownian motion and stochastic calculus 1976Stochastic Differential Equations and Applications 1977Savings bonds, retractable bonds and callable bonds 1996SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION

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Year2006

Typearticle

Published2006-03-24

VenueComputers & Operations Research

ISSN-L0305-0548

Languageen

Citations25

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cor.2006.02.014

openalex_workW2056758779

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