英文标题：
《Perturbation analysis of a nonlinear equation arising in the
  Schaefer-Schwartz model of interest rates》
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作者：
Beata Stehlikova
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最新提交年份：
2014
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英文摘要：
  We deal with the interest rate model proposed by Schaefer and Schwartz, which models the long rate and the spread, defined as the difference between the short and the long rates. The approximate analytical formula for the bond prices suggested by the authors requires a computation of a certain constant, defined via a nonlinear equation and an integral of a solution to a system of ordinary differential equations. In this paper we use perturbation methods to compute this constant. Coefficients of its expansion are given in a closed form and can be constructed to arbitrary order. However, our numerical results show that a very good accuracy is achieved already after using a small number of terms.
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中文摘要：
我们讨论Schaefer和Schwartz提出的利率模型，该模型对长期利率和利差进行建模，定义为短期利率和长期利率之间的差异。作者提出的债券价格的近似分析公式需要计算某个常数，该常数通过一个非线性方程和一个常微分方程组解的积分来定义。在本文中，我们使用微扰方法来计算这个常数。其展开系数以闭合形式给出，可以构造为任意阶。然而，我们的数值结果表明，在使用少量项后，已经达到了非常好的精度。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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