Weak and strong Taylor methods for numerical solutions of stochastic differential equations

DOI10.1080/14697680903493573zbMath1214.91136arXiv0704.0745MaRDI QIDQ3005813

Josef Teichmann, Maria Siopacha

Publication date: 9 June 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0704.0745

zbMATH Keywords

stochastic volatility; Malliavin calculus; mathematical finance; interest rate derivatives; interest rate modelling; LIBOR market models; option pricing via simulation

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)

60H07: Stochastic calculus of variations and the Malliavin calculus