Solutions of two-factor models with variable interest rates
- Author
- JINGLU LI1 ; CLEMONS, C. B1 ; YOUNG, G. W1 ; ZHU, J2
[1] Department of Theoretical and Applied Mathematics, The University ofAkron, Akron, OH 44325-4002, United States
[2] Department of Mathematics, The University of Texas Arlington, Arlington, TX 76019-0408, United States - Source
Journal of computational and applied mathematics. 2008, Vol 222, Num 1, pp 30-41, 12 p ; ref : 12 ref
- CODEN
- JCAMDI
- ISSN
- 0377-0427
- Scientific domain
- Computer science; Mathematics
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Author keyword
- 35Cxx 35K99 35Q80 65M06 91B28 Numerical simulation Two-factor models Variable interest rate
- Keyword (fr)
- Analyse numérique Complétude Condition aux limites Equation différentielle Equation dérivée partielle Fixation prix Implémentation Mathématiques appliquées Modèle simulation Méthode numérique Problème valeur initiale Problème valeur limite Simulation numérique Solution exacte Solution numérique Taux intérêt Troncature 34XX 35XX 65M99 65Mxx 65N99 65Nxx
- Keyword (en)
- Numerical analysis Completeness Boundary condition Differential equation Partial differential equation Pricing Implementation Applied mathematics Simulation model Numerical method Initial value problem Boundary value problem Numerical simulation Exact solution Numerical solution Interest rate Truncation
- Keyword (es)
- Análisis numérico Completitud Condiciones límites Ecuación diferencial Ecuación derivada parcial Fijación precios Implementación Matemáticas aplicadas Modelo simulación Método numérico Problema valor inicial Problema valor limite Simulación numérica Solución exacta Tasa interés Truncamiento
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02E Mathematical analysis / 001A02E07 Ordinary differential equations
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02E Mathematical analysis / 001A02E08 Partial differential equations
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02I Numerical analysis. Scientific computation / 001A02I01 Numerical analysis / 001A02I01J Partial differential equations, initial value problems and time-dependant initial-boundary value problems
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02I Numerical analysis. Scientific computation / 001A02I01 Numerical analysis / 001A02I01K Partial differential equations, boundary value problems
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 20774999
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/j.cam.2007.10.014 
https://dx.doi.org/10.1016/j.cam.2007.10.014
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