Structure preserving stochastic integration schemes in interest rate derivative modeling

DOI10.1016/j.apnum.2006.11.013zbMath1141.65323OpenAlexW2073168439MaRDI QIDQ2479422

Yanyan Li

Publication date: 26 March 2008

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2006.11.013

zbMATH Keywords

stochastic differential equationnumerical testspositivitystochastic integrationconstant elasticity of variancemean revertingstructure-preservingdisplaced diffusionMilstein schemesforward rate modeleternal life spanLibor market models

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Auctions, bargaining, bidding and selling, and other market models (91B26) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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• A survey of numerical methods for stochastic differential equations
• LIBOR and swap market models and measures
• The solving of boundary value problems by numerical integration of stochastic equations
• Balanced Implicit Methods for Stiff Stochastic Systems
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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