Structure preserving stochastic integration schemes in interest rate derivative modeling
In many applications, differential equation models require geometric integration, ie, the
application of structure-preserving integration schemes. In computational finance, for
example, the numerical simulation of extended Libor market models used to value structured
interest rate derivatives has to preserve positivity or boundedness of the underlying
stochastic processes used to model mean-reverting volatility or forward rates. This paper
discusses how stochastic integration schemes can be constructed in order to maintain these …
application of structure-preserving integration schemes. In computational finance, for
example, the numerical simulation of extended Libor market models used to value structured
interest rate derivatives has to preserve positivity or boundedness of the underlying
stochastic processes used to model mean-reverting volatility or forward rates. This paper
discusses how stochastic integration schemes can be constructed in order to maintain these …
[PDF][PDF] Structure preserving stochastic integration schemes in interest rate derivative modeling
C Kahl, M Günther, T Roßberg - 2004 - imacm.uni-wuppertal.de
In many applications, differential equation models require geometric integration, ie, the
application of structure-preserving integration schemes. In computational finance, for
example, the numerical simulation of extended Libor market models used to value structured
interest rate derivatives has to preserve positivity or boundedness of the underlying
stochastic processes used to model mean-reverting volatility or forward rates. This paper
discusses how stochastic integration schemes can be constructed in order to maintain these …
application of structure-preserving integration schemes. In computational finance, for
example, the numerical simulation of extended Libor market models used to value structured
interest rate derivatives has to preserve positivity or boundedness of the underlying
stochastic processes used to model mean-reverting volatility or forward rates. This paper
discusses how stochastic integration schemes can be constructed in order to maintain these …
以上显示的是最相近的搜索结果。 查看全部搜索结果