Using kalman filter and finite difference techniques in default free bond pricing models

1993 ◽  
Vol 45 (1) ◽  
pp. 405-431
Author(s):  
David Weeks ◽  
Suleiman Kassicieh
Keyword(s):  
Kalman Filter ◽  
Finite Difference ◽  
Bond Pricing ◽  
Pricing Models ◽  
Finite Difference Techniques

Finite difference techniques for variable grids

1972 ◽  
Vol 2 (1-2) ◽  
pp. 17-29 ◽  
Author(s):  
Paul S. Jensen
Keyword(s):  
Finite Difference ◽  
Finite Difference Techniques

Calculation of the Quasi Three-Dimensional Flow in a Turbomachine Blade Row

1977 ◽  
Vol 99 (1) ◽  
pp. 53-62 ◽  
Author(s):  
Jean-Pierre Veuillot
Keyword(s):  
Finite Difference ◽  
Three Dimensional ◽  
Three Dimensional Flow ◽  
Through Flow ◽  
Blade Row ◽  
Time Marching ◽  
Space Discretization ◽  
Finite Volume Approach ◽  
Marching Method ◽  
Finite Difference Techniques

The equations of the through flow are obtained by an asymptotic theory valid when the blade pitch is small. An iterative method determines the meridian stream function, the circulation, and the density. The various equations are discretized in an orthogonal mesh and solved by classical finite difference techniques. The calculation of the steady transonic blade-to-blade flow is achieved by a time marching method using the MacCormack scheme. The space discretization is obtained either by a finite difference approach or by a finite volume approach. Numerical applications are presented.

Empirical Evaluation of Hybrid Defaultable Bond Pricing Models

2008 ◽  
Vol 15 (3) ◽  
pp. 219-249 ◽  
Author(s):  
S. Antes ◽  
M. Ilg ◽  
B. Schmid ◽  
R. Zagst
Keyword(s):  
Empirical Evaluation ◽  
Bond Pricing ◽  
Pricing Models ◽  
Defaultable Bond

Hybrid modeling of elastic‐wave propagation in two‐dimensional laterally inhomogeneous media

Geophysics ◽  
1987 ◽  
Vol 52 (6) ◽  
pp. 765-771 ◽  
Author(s):  
B. Kummer ◽  
A. Behle ◽  
F. Dorau
Keyword(s):  
Integral Equation ◽  
Wave Propagation ◽  
Finite Difference ◽  
Elastic Wave ◽  
Boundary Integral Equation ◽  
Integral Equation Method ◽  
Boundary Integral ◽  
Two Dimensional ◽  
Hybrid Scheme ◽  
Finite Difference Techniques

We have constructed a hybrid scheme for elastic‐wave propagation in two‐dimensional laterally inhomogeneous media. The algorithm is based on a combination of finite‐difference techniques and the boundary integral equation method. It involves a dedicated application of each of the two methods to specific domains of the model structure; finite‐difference techniques are applied to calculate a set of boundary values (wave field and stress field) in the vicinity of the heterogeneous domain. The continuation of the near‐field response is then calculated by means of the boundary integral equation method. In a numerical example, the hybrid method has been applied to calculate a plane‐wave response for an elastic lens embedded in a homogeneous environment. The example shows that the hybrid scheme enables more efficient modeling, with the same accuracy, than with pure finite‐difference calculations.

Sharp Analytical Lower Bounds for the Price of a Convertible Bond

2018 ◽  
Keyword(s):  
Finite Difference ◽  
Lower Bounds ◽  
Diffusion Models ◽  
Bond Pricing ◽  
Convertible Bond ◽  
Model Parameters ◽  
Analytical Approximations ◽  
Markov Diffusion

Analytical approximations for the price of a convertible bond within defaultable Markov diffusion models are derived in this article. Because convertible bond pricing requires time-consuming finite difference or tree pricing methods in general, such proxy formulas can help to calibrate model parameters more efficiently. The derivation is based on the idea of “Europeanizing” the American conversion option of the holder. Hence, the quality of the approximations stands and falls with the value of the early conversion premium. In practice, the latter is typically close to zero, which implies that the analytical lower bounds are incredibly sharp.

An Analytical Study of Cryosurgery in the Lung

1992 ◽  
Vol 114 (4) ◽  
pp. 467-472 ◽  
Author(s):  
J. C. Bischof ◽  
J. Bastacky ◽  
B. Rubinsky
Keyword(s):  
Finite Difference ◽  
Analytical Study ◽  
Outer Boundary ◽  
Temperature Profiles ◽  
One Dimensional ◽  
Thermal Phenomenon ◽  
Healthy Lung Tissue ◽  
Close Form ◽  
Finite Difference Techniques ◽  
Healthy Lung

The process of freezing in healthy lung tissue and in tumors in the lung during cryosurgery was modeled using one-dimensional close form techniques and finite difference techniques to determine the temperature profiles and the propagation of the freezing interface in the tissue. A thermal phenomenon was observed during freezing of lung tumors embedded in healthy tissue, (a) the freezing interface suddenly accelerates at the transition between the tumor and the healthy lung, (b) the frozen tumor temperature drops to low values once the freezing interface moves into the healthy lung, and (c) the outer boundary temperature has a point of sharp inflection corresponding to the time at which the tumor is completely frozen.

Estimating Structural Bond Pricing Models

2005 ◽  
Vol 78 (2) ◽  
pp. 707-735 ◽  
Author(s):  
Jan Ericsson ◽  
Joel Reneby
Keyword(s):  
Bond Pricing ◽  
Pricing Models ◽  
Structural Bond
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