Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
From MaRDI portal
Publication:2163140
Recommendations
- First order strong approximation of Ait-Sahalia-type interest rate model with Poisson jumps
- Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation
- Ergodicity of generalized ait-sahalia-type interest rate model
- Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model
- Parameter estimation for generalized Ait-Sahalia-type interest rate model
- On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
- Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
- Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay
- Positivity-preserving truncated Euler-Maruyama method for generalised Ait-Sahalia-type interest model
- The generalized compound Poisson risk model with stochastic interest
Cites work
- A highly sensitive mean-reverting process in finance and the Euler-Maruyama approximations
- A theory of the term structure of interest rates
- Almost sure exponential stability of numerical solutions to stochastic delay Hopfield neural networks
- An equilibrium characterization of the term structure
- An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
- Asymptotic stability in the pth moment for stochastic differential equations with Lévy noise
- Coupling and option price comparisons in a jump-diffusion model
- Critical value-based Asian option pricing model for uncertain financial markets
- Dissipative control for nonlinear Markovian jump systems with actuator failures and mixed time-delays
- Ergodicity of generalized ait-sahalia-type interest rate model
- Estimating the degree of activity of jumps in high frequency data
- FFT based option pricing under a mean reverting process with stochastic volatility and jumps
- Financial Modelling with Jump Processes
- Highly nonlinear model in finance and convergence of Monte Carlo simulations
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- Jump systems with the mean-reverting -process and convergence of the numerical approximation
- Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps
- Mean square stability of two classes of theta method for neutral stochastic differential delay equations
- Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
- Option pricing when underlying stock returns are discontinuous
- Property and numerical simulation of the Ait-Sahalia-Rho model with nonlinear growth conditions
- Protocol-based state estimation for delayed Markovian jumping neural networks
- Razumikhin-type theorem for stochastic functional differential equations with Lévy noise and Markov switching
- Stability analysis of stochastic delay differential equations with Lévy noise
- Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump
- Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range
- Testing for jumps in a discretely observed process
- Testing for jumps in noisy high frequency data
- Testing for mutually exciting jumps and financial flights in high frequency data
- The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
- The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model
Cited in
(12)- On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
- Positivity preserving stochastic \(\theta\)-methods for selected SDEs
- Delay-dependent asymptotic stability of highly nonlinear stochastic differential delay equations driven by G-Brownian motion
- Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift
- Efficient approximation of SDEs driven by countably dimensional Wiener process and Poisson random measure
- Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation
- Positivity-preserving truncated Euler-Maruyama method for generalised Ait-Sahalia-type interest model
- Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
- Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
- Tamed EM method for a delayed Ait-Sahalia type model driven by Poisson jumps
- Convergence analysis of a generalized mean-reverting stochastic model under stochastic correlation
- Strong order 1 adaptive approximation of jump-diffusion SDEs with discontinuous drift
This page was built for publication: Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2163140)
