Mathematically precise PDEs describing interest rate problems, notably the Cox IngersollRoss(CIR) model. We use domain transformation, allowing

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Mathematically precise PDEs describing interest rate problems, notably the Cox–

Ingersoll–Ross(CIR) model. We use domain transformation, allowing us to discover appropriate boundary conditions for these problems. It is also possible to transform these PDEs to conservative (self-adjoint) form.

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Numerical Methods In Computational Finance

ISBN: 9781119719670

1st Edition

Authors: Daniel J. Duffy

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Question Posted: Oct 23, 2024 08:04 AM

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Mathematically precise PDEs describing interest rate problems, notably the Cox IngersollRoss(CIR) model. We use domain transformation, allowing

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Numerical Methods In Computational Finance

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