In this paper, we introduce a new simple approach to developing and establishing the
convergence of splitting methods for a large class of stochastic differential equations (SDEs) …

We prove mean-square convergence of a exponential tamed method, for a generalized Ait-
Sahalia interest rate model. The method is based on a Lamperti transform, splitting and …

This paper aims to investigate an adaptive numerical method based on a splitting scheme
for the Cox–Ingersoll–Ross (CIR) model. The main challenge associated with numerically …

Calibration of interest rate models benefits from grouping data to homogenous classes.
Such an approach is typical in many financial time series. Preliminaries have been …

We propose a new splitting method for strong numerical solution of the Cox-Ingersoll-Ross
model. For this method, applied over both deterministic and adaptive random meshes, we …

This book offers an up-to-date introductory treatment of computational techniques applied to
problems in finance, placing issues such as numerical stability, convergence and error …

We cover the numerical approximation of SDE models for which exact sampling is
impossible. After introducing the Euler-Maruyama class of numerical schemes for Itô-type …

This thesis consists of several contributions to the numerical analysis of stochastic
differential equations (SDEs) and their statistics, illustrated with biochemical models and a …

Term life insurance is an insurance that provides protection for a certain period that has
been agreed upon in the policy. The policy is an agreement that contains the participant's …

Stochastic differential equations (SDEs) and stochastic partial differential equations (SPDEs)
are fundamental modelling tools for a wide variety of disciplines including finance …