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

DOI10.1007/s40072-015-0066-6zbMath1344.60061MaRDI 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 methods; Heath-Jarrow-Morton model; stochastic hyperbolic PDEs; Kailath-Segall polynomials; Teugels polynomials; Wiener-Poisson chaos

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91B70: Stochastic models in economics

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G80: Financial applications of other theories

60H07: Stochastic calculus of variations and the Malliavin calculus

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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