英文标题：
《Numerical and analytical methods for bond pricing in short rate
  convergence models of interest rates》
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作者：
Zuzana Buckova, Beata Stehlikova, Daniel Sevcovic
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最新提交年份：
2016
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英文摘要：
  In this survey paper we discuss recent advances on short interest rate models which can be formulated in terms of a stochastic differential equation for the instantaneous interest rate (also called short rate) or a system of such equations in case the short rate is assumed to depend also on other stochastic factors. Our focus is on convergence models, which explain the evolution of interest rate in connection with the adoption of Euro currency. Here, the domestic short rate depends on a stochastic European short rate. In short rate models, the bond prices, which determine the term structure of interest rate, are obtained as solutions to partial differential equations. Analytical solutions are available only in special cases; therefore we consider the question of obtaining their approximations. We use both analytical and numerical methods to get an approximate solution to the partial differential equation for bond prices.
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中文摘要：
在这篇综述性论文中，我们讨论了短期利率模型的最新进展，这些模型可以用瞬时利率（也称为短期利率）的随机微分方程或一组这样的方程表示，前提是假设短期利率还依赖于其他随机因素。我们的重点是趋同模型，该模型解释了采用欧元后利率的演变。这里，国内短期利率取决于随机欧洲短期利率。在短期利率模型中，决定利率期限结构的债券价格作为偏微分方程的解得到。分析解决方案仅在特殊情况下可用；因此，我们考虑获得其近似值的问题。我们使用解析和数值方法得到债券价格偏微分方程的近似解。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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