This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

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

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Erik Ekstrom
Per Lotstedt
Johan Tysk
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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504860802584004&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
File Format: text/html
File Function:
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Mathematical Finance.

Volume (Year): 16 (2009)
Issue (Month): 3 ()
Pages: 253-259
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:taf:apmtfi:v:16:y:2009:i:3:p:253-259

Contact details of provider:
Web page: http://taylorandfrancis.metapress.com/link.asp?target=journal&id=100141

Order Information:
Web: http://www.tandf.co.uk/journals/subscription.html

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords: Term structure equation; degenerate parabolic equations; stochastic representation; finite difference method;

Statistics
Access and download statistics

Did you know? The most prolific authors have over 700 items listed on IDEAS.

This page was last updated on 2010-1-6.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.