Article2009

Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation

Erik Ekström · Per Lötstedt · Johan Tysk

44 citations0/0 files storedApplied Mathematical Finance

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Stochastic processes and financial applications Numerical methods for differential equations Differential Equations and Numerical Methods

Abstract

We study the classical single factor term structure equation for models that predict non-negative interest rates. For these models we develop a fast and accurate finite difference method (FD) using the appropriate boundary conditions at zero.

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1985An Intertemporal General Equilibrium Model of Asset Prices 2001Interest Rate Models Theory and Practice 2006Options and Bubbles 2006Finite Difference Methods in Financial Engineering 2007Space–time adaptive finite difference method for European multi-asset options 2006FEYNMAN–KAC FORMULAS FOR BLACK–SCHOLES-TYPE OPERATORS 2001A numerical PDE approach for pricing callable bonds

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2016Boundary conditions for the single-factor term structure equation

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