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An Introduction to Interest rate models.
The field of financial mathematics has developed tremendously over the past thirty years, and the underlying models that have taken shape in interest rate markets and bond markets, being much richer in structure than equity-derivative models, are particularly fascinating and com…
Andrew Cairns introduces the tools required for the arbitrage-free modelling of the term structure of interest rates. The text offers a detailed introduction to numerical methods, credit risk & calibration.
1. Comments on the pricing equations in finance. 1.1. Solutions and their properties. 1.2. Boundary conditions for the pricing equations -- 2. The method of lines (MOL) for the diffusion equation. 2.1. The method of lines with continuous time (the vertical MOL). 2.2. The method …
Few financial mathematical books have discussed mathematically acceptable boundary conditions for the degenerate diffusion equations in finance. In The Time-Discrete Method of Lines for Options and Bonds, Gunter H. Meyer examines PDE models for financial derivatives and shows wh…
Few financial mathematical books have discussed mathematically acceptable boundary conditions for the degenerate diffusion equations in finance. In The Time-Discrete Method of Lines for Options and Bonds, Gunter H. Meyer examines PDE models for financial derivatives and shows wh…
Few financial mathematical books have discussed mathematically acceptable boundary conditions for the degenerate diffusion equations in finance. In 'The Time-Discrete Method of Lines for Options and Bonds', Gunter H Meyer examines PDE models for financial derivatives and shows w…
Few financial mathematical books have discussed mathematically acceptable boundary conditions for the degenerate diffusion equations in finance. In The Time-Discrete Method of Lines for Options and Bonds, Gunter H. Meyer examines PDE models for financial derivatives and shows wh…
