Wolfram Language & System 10.0 (2014)|Legacy Documentation

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Simulate Zero Coupon Bond Using Chen's Model

    
Define Chen's model for the evolution of interest rates:
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Visualize some trajectories using the stochastic RungeKutta method, correcting for negative interest rates that result from the use of the approximation:
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Evaluate zerocoupon bond maturing at time 1 using the Monte Carlo method. The present value of the bond is given by the mean of the process :
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