Wiener-Poisson chaos expansion and numerical solutions of the Heath-Jarrow-Morton interest rate model

DOI10.1007/s40072-015-0066-6zbMath1344.60061OpenAlexW3123259699MaRDI QIDQ2629200

Evangelia A. Kalpinelli, Nikolaos E. Frangos

Publication date: 5 July 2016

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40072-015-0066-6

zbMATH Keywords

numerical methodsHeath-Jarrow-Morton modelstochastic hyperbolic PDEsKailath-Segall polynomialsTeugels polynomialsWiener-Poisson chaos

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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