{"entities":{"Q2479422":{"pageid":2490165,"ns":120,"title":"Item:Q2479422","lastrevid":50316365,"modified":"2026-01-13T19:41:24Z","type":"item","id":"Q2479422","labels":{"en":{"language":"en","value":"Structure preserving stochastic integration schemes in interest rate derivative modeling"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 5254140"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2479422$92DAD76C-B770-4C3D-9268-DA20AD1AB86D","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"186340eb46e55f7182b667b898067a8cb25336e2","datavalue":{"value":{"text":"Structure preserving stochastic integration schemes in interest rate derivative modeling","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q2479422$CCE8E386-9E32-46E8-B67B-EF5473F84C21","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"51b5294557a0b4b2e7e6e40a7ba3c92c39c16795","datavalue":{"value":"1141.65323","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2479422$B4B06424-F379-4F0C-9E4A-29AC0A623C8F","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"cc45e6b9322bed7360e4aac2a42f8c73614b44f3","datavalue":{"value":{"entity-type":"item","numeric-id":1787138,"id":"Q1787138"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2479422$88F7B22F-47B7-46BE-9197-C2EB3E295BAF","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"a2b36e7242e7992e58f1bd7860d01eb8947aeba5","datavalue":{"value":{"entity-type":"item","numeric-id":168308,"id":"Q168308"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2479422$6AA4A7EA-4ADF-48E9-9DE6-25C30AAF9445","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"b5e0cdb440ca46d9b8c69635fc01191f2bcf2170","datavalue":{"value":{"time":"+2008-03-26T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q2479422$B8A9F5E5-B807-41F6-8FB5-7B98422D68D7","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"9864d99cc466b83f675e63b98de48ffce174929d","datavalue":{"value":"From the authors' abstract: 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 properties of the analytical solution. Milstein-type methods prove to be the method-of-choice with respect to both efficiency and preservation of structural properties. These theoretical results are confirmed by numerical tests.","type":"string"},"datatype":"string"},"type":"statement","id":"Q2479422$0E4E496D-7B7F-4676-A1F2-AC73772C9008","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"52d550137ef2aa5d9737ff164f6a8e6e118f84bc","datavalue":{"value":"65C30","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2479422$8D7FE599-1F98-4180-9E1E-2400EF985BE3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"b1355fbb4f7dce5b1a2a667a659d4b16ecef07e4","datavalue":{"value":"60H10","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2479422$0987E7BB-8963-4ABD-957F-88531D5C7C0B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"9375df1cefbb35e9d725c7f8a9310966359d35cc","datavalue":{"value":"60H35","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2479422$6940029C-180A-4CC8-9395-1977547B8FBC","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"6e419163fd9b5f210c8c0c28cdb07c2197a2bcac","datavalue":{"value":"91B26","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2479422$37774DFB-CBE9-4256-8C6A-AE7C3ACB799C","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"c8cd8c196eb29f28bdd784cd5ae779d43d301fdf","datavalue":{"value":"5254140","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2479422$85EEADE3-1E28-4355-9657-81500E3021CB","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"08c8d5eb80436dc75c50fd8573f2beb6af1167c5","datavalue":{"value":"stochastic differential equation","type":"string"},"datatype":"string"},"type":"statement","id":"Q2479422$4C760467-8B95-4E59-A881-5846AAC5044C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"5f8f6291a764dccee7efe75b40cec8dea4cbfb8e","datavalue":{"value":"structure-preserving","type":"string"},"datatype":"string"},"type":"statement","id":"Q2479422$B06C3E97-A17A-42EA-A1C3-2E44CE0EEA13","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"850292df385db1a7791464d9ea1bb117e138f458","datavalue":{"value":"positivity","type":"string"},"datatype":"string"},"type":"statement","id":"Q2479422$244B9270-50BB-4A5F-9603-D38962FB8C2E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"91ec524ddb3c5f3a17e9e1d193b8e5dc29e7ba69","datavalue":{"value":"eternal life span","type":"string"},"datatype":"string"},"type":"statement","id":"Q2479422$45B6835D-9C5D-4BE9-8E70-6C8BB14034AA","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"9be62203f4ba6706d4ff6be3e23105d121f95fc3","datavalue":{"value":"Milstein schemes","type":"string"},"datatype":"string"},"type":"statement","id":"Q2479422$F2A4763B-7BF0-4275-9C14-023F5CF3D158","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"95c90333b1eb1b62126e076b2bf9312e349bfc27","datavalue":{"value":"Libor market models","type":"string"},"datatype":"string"},"type":"statement","id":"Q2479422$BE32C403-9552-4974-AB6A-059A3254C00C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"8b9bcd30091acd9245c0b5f76b7eef32c05e5484","datavalue":{"value":"mean reverting","type":"string"},"datatype":"string"},"type":"statement","id":"Q2479422$1FC404FB-F4CC-4065-B617-5E74F5652DE4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"58b102b4e9e5831fcb0e3f14a3f69bd0094cb403","datavalue":{"value":"forward rate model","type":"string"},"datatype":"string"},"type":"statement","id":"Q2479422$E5C8C8B8-F5DB-4F72-8972-CEB5A13C996B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"7db74c4dc1a6459cd2e30da33fd9dd7cc4601f4a","datavalue":{"value":"displaced diffusion","type":"string"},"datatype":"string"},"type":"statement","id":"Q2479422$CADB6A8C-8797-47BC-84CE-077A358FDCC7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"23294c884b1d49b1309e5dc2422e362f3ff85123","datavalue":{"value":"constant elasticity of variance","type":"string"},"datatype":"string"},"type":"statement","id":"Q2479422$2600BDB6-CD68-4D79-94A2-C0E2086D66BF","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"f164df189809519f24bc61868318438fc9d9b744","datavalue":{"value":"stochastic integration","type":"string"},"datatype":"string"},"type":"statement","id":"Q2479422$1EF79481-04D7-477A-9FF5-2D77A2F10FFF","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"26061d27c2e2352863ee2bd8d0bd52f07adfd91b","datavalue":{"value":"numerical tests","type":"string"},"datatype":"string"},"type":"statement","id":"Q2479422$532B368F-8C7F-4D1D-B14A-084F5F75A482","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"1c0945e18b0b23133ee45c006ebf049ed908bd0f","datavalue":{"value":{"entity-type":"item","numeric-id":591981,"id":"Q591981"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2479422$E4ABBC42-FEDA-46DA-831B-078BEB7B4768","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2479422$3AE35C51-F310-408B-BE84-2E03E8764BC3","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"029fe089ea84ebd5fd76ac835dda2d0cbeff4f14","datavalue":{"value":"https://doi.org/10.1016/j.apnum.2006.11.013","type":"string"},"datatype":"url"},"type":"statement","id":"Q2479422$6933DD0E-485D-4EE0-91DA-7392E97FFA88","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"4226090ea2b11cdfd5539249f905a0b6f70a922f","datavalue":{"value":"W2073168439","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2479422$9532FAA7-CC04-4EE1-8F74-29349656A057","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"a4a7063829004c41e1f7a444e52f4703a68e0588","datavalue":{"value":{"entity-type":"item","numeric-id":5374080,"id":"Q5374080"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2479422$2062A364-0F00-4AF2-91D1-9F95606130E0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"3540dd35b4d4730ffb752538fe4abe7c2542a981","datavalue":{"value":{"entity-type":"item","numeric-id":1376238,"id":"Q1376238"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2479422$F3159DB0-EFE0-4ED3-BD9D-D6BB45DD7B05","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"d362f57e729839b13bf880c727ea0d69861bb6ce","datavalue":{"value":{"entity-type":"item","numeric-id":3923307,"id":"Q3923307"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2479422$539C32E8-13C4-4ADC-9E8D-EDE560CF9C87","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"7bba8aa8d93bc1cfe4c727b15a41173f2c100e36","datavalue":{"value":{"entity-type":"item","numeric-id":914251,"id":"Q914251"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2479422$4AFE5185-B990-4BA8-9AF6-8DEDDE074595","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"15a1d9733ee092fcd1dccb04ae4663345d2e9591","datavalue":{"value":{"entity-type":"item","numeric-id":1897659,"id":"Q1897659"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2479422$04BC9568-21F4-4A6B-9EE4-E16056652FC1","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"f9128cfa42385c96f77f5c4567427b916976d078","datavalue":{"value":{"entity-type":"item","numeric-id":4389164,"id":"Q4389164"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2479422$D4C00E2E-9D16-4362-891D-5257F1B36ED1","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"ab520925620387eb85e2e3f8b7bfb21af8b18395","datavalue":{"value":{"entity-type":"item","numeric-id":4718663,"id":"Q4718663"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2479422$C8D1D40B-55EB-417A-BD23-8A8D3DCD0B80","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"366f8837e52c8259563cd67039063feb764b18f9","datavalue":{"value":"10.1016/J.APNUM.2006.11.013","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2479422$1EE96919-AB11-4591-AD20-C59FE7F686E9","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"43113345aa251ba49c6041f9615d649291005598","datavalue":{"value":{"entity-type":"item","numeric-id":4541567,"id":"Q4541567"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"25581d5f06c80ffac48ba5e9f7c0f8344ebd2b85","datavalue":{"value":{"amount":"+0.7916237711906433","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2479422$51FC343A-3CD3-4F51-8692-D17DECA37C81","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"f94e5a695544e04186cb46403c1af1968e56821d","datavalue":{"value":{"entity-type":"item","numeric-id":3405598,"id":"Q3405598"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"02980770ee103afa4243028b33a1c8bac66917d5","datavalue":{"value":{"amount":"+0.7828943133354187","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2479422$8331EBC2-11FE-45EE-A072-EEE596C979A4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"9343025c6be93629e6526271071bbbd6d9d484b9","datavalue":{"value":{"entity-type":"item","numeric-id":1979076,"id":"Q1979076"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"db8c8b4f154d40c242a480c7bb0d757a0c257cdb","datavalue":{"value":{"amount":"+0.7659433484077454","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2479422$EDE584F1-BB1C-4861-89C3-B0C979EDA96F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"0e58c21b2864815eebbd914b7585015c2b753203","datavalue":{"value":{"entity-type":"item","numeric-id":634110,"id":"Q634110"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"9eb31fef79bfb972cfb58af121696ccf48fc900e","datavalue":{"value":{"amount":"+0.7659429907798767","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2479422$2B79ACC9-AF1B-40DE-9524-713EAC30D42F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"7716c63fc1743aa788dbc019c5293836d872bfc8","datavalue":{"value":{"entity-type":"item","numeric-id":5398452,"id":"Q5398452"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"7f1553be215e656458502dcf4f408550c2b14fb9","datavalue":{"value":{"amount":"+0.7592579126358032","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2479422$501D9558-6661-45EE-BCB1-C331C4770CBD","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:2479422","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:2479422"}}}}}