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Journey of a financial Engineer. Wednesday, June 15, 2011. Solving the Modified OU PDE and Calculate Mean Reversion rate. Calculating theta from the hazard rate curve. We believe that the hazard rate follows the Ornstein-Uhlenbeck process. Iven an initial term structure of hazard rate, we can find the value for θ by first calculating the closed form solution for the above pde and then eliminating the stochastic term from the solution. If we have a PDE of the form dXFt,Xdx σXdW ,Initial ConditionX0.CONTENT
This web page finance-engineer-tanmay.blogspot.com states the following, "Wednesday, June 15, 2011." We saw that the webpage said " Solving the Modified OU PDE and Calculate Mean Reversion rate." It also said " Calculating theta from the hazard rate curve. We believe that the hazard rate follows the Ornstein-Uhlenbeck process. Iven an initial term structure of hazard rate, we can find the value for θ by first calculating the closed form solution for the above pde and then eliminating the stochastic term from the solution. If we have a PDE of the form dXFt,Xdx σXdW ,Initial ConditionX0."