Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay

DOI10.1016/J.CAM.2020.113137MaRDI QIDQ2199791zbMATH OpenOpenAlexFDO

Authors Coffie Emmanuel, Xuerong Mao

Publication date 14 September 2020

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://strathprints.strath.ac.uk/73420/

zbMATH Keywords

delay volatilityMonte Carlo schemestochastic interest rate modelstrong convergencetruncated EM scheme

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

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• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Stochastic differential equations and applications.
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model
• The Distribution of Realized Exchange Rate Volatility
• The pricing of options and corporate liabilities
• The truncated Euler-Maruyama method for stochastic differential delay equations
• The truncated Euler-Maruyama method for stochastic differential equations

Cited in

(20)

• An efficient computational scheme to solve a class of fractional stochastic systems with mixed delays
• Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
• Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model
• scientific article; zbMATH DE number 7523981 (Why is no real title available?)
• Property and numerical simulation of the Ait-Sahalia-Rho model with nonlinear growth conditions
• Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation
• Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition
• Strong convergence rate of implicit Euler scheme to a CIR model with delay
• Positivity-preserving truncated Euler-Maruyama method for generalised Ait-Sahalia-type interest model
• On the analysis of Ait-Sahalia-type model for rough volatility modelling
• Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay
• An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence
• Unconditionally positivity-preserving explicit Euler-type schemes for a generalized Aït-Sahalia model
• Strong order one convergence of the projected Euler-Maruyama method for scalar SDEs defined in the positive domain
• Tamed EM method for a delayed Ait-Sahalia type model driven by Poisson jumps
• Numerical solutions of a Markov-switching one-factor volatility model with nonglobally Lipschitz continuous coefficients
• On the analysis of a generalised mean-reverting stochastic model with two uncorrelated Brownian motions
• Unconditionally positivity-preserving approximations of the Aït-Sahalia type model: explicit Milstein-type schemes
• Euler–Maruyama Approximations of a Delayed CIR-Type Interest Rate Model with Non-Lipschitz Diffusion Factor
• Convergence analysis of a generalized mean-reverting stochastic model under stochastic correlation

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