Open Access
September 2003 Three-factor interest rate models
You-Lan Zhu
Commun. Math. Sci. 1(3): 557-573 (September 2003).


A three-factor interest rate model defined on a finite domain has been provided. All the functions in the model can be obtained from the real markets. It has been proven that a final-value problem of the corresponding partial differential equation on a finite domain has a unique solution. Because the formulation of the problem is on a finite domain and correct, it is not difficult to design efficient numerical methods for the problem. Therefore interest rate derivatives can be evaluated without any difficulty and the results can readily be used in practice.


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You-Lan Zhu. "Three-factor interest rate models." Commun. Math. Sci. 1 (3) 557 - 573, September 2003.


Published: September 2003
First available in Project Euclid: 21 August 2009

zbMATH: 1161.91412
MathSciNet: MR2069943

Rights: Copyright © 2003 International Press of Boston

Vol.1 • No. 3 • September 2003
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