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2 questions with no upvoted or accepted answers
4
votes
0
answers
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Pricing zero coupon bonds through PDE
I'm currently studying Paul Wilmott on quantitative finance and saw an interesting idea for an interest rate model that went unexplored in the book.
The idea is to model the market price of risk as a ...
- 51
1
vote
0
answers
45
views
Adding a data-dependent term to the porous medium equation while retaining an explicit solution
I am working with the porous medium equation, which I am treating it as a type of Fokker-Planck equation given by:
$
\frac{\partial u}{\partial t} = \Delta(u^m), \quad m > 1
$
For this equation, ...
- 11