The aim of this paper is to propose a numerical method to price the Chicago Board of Trade Treasury-bond futures. This contract is one of the most traded in the world, largely because of its ability to hedge long term interest rate risk. The difficulty to price it arises from its multiple...

The aim of this paper is to price options embedded in bonds in a Dynamic Programming (DP) framework, the focus being on call and put options with advance notice. The pricing of interest rate derivatives was usually done via trees or finite differences. Trees are not really very efficient as they...

Krylov subspace methods have proven to be powerful methods for solving sparse linear systems arising in several engineering problems. More recently, these methods have been successfully applied in computational economics, for instance in the solution of forward-looking macroeconometric models...