scientific article

zbMath0990.60059MaRDI QIDQ2740458

Anatoliy Swishchuk, A. V. Kalemanova

Publication date: 16 September 2001

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

stochastic stabilityinterest rates with jumps

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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A compensated numerical method for solving stochastic differential equations with variable delays and random jump magnitudes ⋮ On volatility swaps for stock market forecast: application example CAC 40 French Index ⋮ Convergence analysis of semi-implicit Euler methods for solving stochastic equations with variable delays and random jump magnitudes ⋮ Stochastic \(\theta\)-methods for a class of jump-diffusion stochastic pantograph equations with random magnitude ⋮ Strong convergence of the split-step \(\theta\)-method for stochastic age-dependent capital system with random jump magnitudes ⋮ Numerical methods for a class of jump-diffusion systems with random magnitudes ⋮ Quantification of stochastically stable representative volumes for random heterogeneous materials

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