TY  - JOUR
TI  - On the Evaluation of Interest Rate Derivatives by Numerical Solution of Term Structure Equation
T2  - HSE Economic Journal 
IS  - HSE Economic Journal 
KW  - stochastic interest rate
KW  - term structure equation
KW  - finite difference method
AB  - In this work we compare the central difference scheme and so-called mixed scheme that covers the case of dominating convection. We present an example when precision of the mixed scheme is more than ten times higher than that of central difference scheme.
AU  - Nail' Makuev
AU  - Alexey Shvedov
UR  - https://ej.hse.ru/en/2011-15-3/43988321.html
PY  - 2011
SP  - 374-382
VL  - 15