{"id":"W2272028740","doi":"10.2139/ssrn.1597890","title":"Numerical Solutions of PIDEs for the Prices of Bond Options, Swaps, Caps and Floors for Levy-Based Stochastic Interest Rate Models","year":2010,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Calgary","funders":"","keywords":"Bond; Interest rate; Lévy process; Interest rate derivative; Economics; Econometrics; Bond valuation; Financial economics; Mathematics; Monetary economics; Applied mathematics; Finance","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.003011331,0.0009486339,0.0009547208,0.001481129,0.0008540843,0.002001451,0.001298134,0.003328397,0.005990404],"category_scores_gemma":[0.01883686,0.0006564194,0.001032296,0.0008870325,0.001850036,0.001586948,0.00161357,0.00263214,0.0004232199],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001583008,"about_ca_system_score_gemma":0.001986492,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00862417,"about_ca_topic_score_gemma":0.007845456,"domain_scores_codex":[0.9995845,0.0002034659,0.0000304947,0.00004637659,0.00008081366,0.00005434506],"domain_scores_gemma":[0.9924399,0.005800646,0.0005129133,0.0001831987,0.0006932446,0.0003700702],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.00008773628,0.00006149674,0.001071578,0.0001084888,0.00003410342,0.0001133106,0.0001251188,0.9308296,0.0006245701,0.06073986,0.0009910003,0.005213079],"study_design_scores_gemma":[0.0000136504,0.000007915594,0.00008975041,0.00001399494,0.000003575267,0.000008947936,0.00002762332,0.9927402,0.00009803606,0.006768247,0.0002214221,0.000006539399],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"methods","genre_scores_codex":[0.2589988,0.002327202,0.6956044,0.003602052,0.0005743009,0.000266525,0.0007964722,0.0004466088,0.03738354],"genre_scores_gemma":[0.8486089,0.000797863,0.1371685,0.0003633306,0.0001472882,0.000431229,0.0005500188,0.000309736,0.0116232],"genre_candidate":"methods","genre_consensus":"methods","teacher_disagreement_score":0.00862417,"threshold_uncertainty_score":0.02003992,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.0370338410411807,"score_gpt":0.2456910662796068,"score_spread":0.2086572252384261,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}