A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models

DOI10.1007/S11075-016-0137-4zbMATH Open1359.65016OpenAlexW2492225378MaRDI QIDQ503350FDOQ503350

Authors: Xu Yang, Xiaojie Wang 

Publication date: 12 January 2017

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-016-0137-4

Recommendations

• A jump to default extended CEV model: an application of Bessel processes
• Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients
• An explicit and positivity preserving numerical scheme for the mean reverting CEV model
• Stochastic transforms for jump diffusion processes combined with related backward stochastic differential equations
• On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
• The Euler-Maruyama approximations for the CEV model
• Forward-backward SDEs and the CIR model
• Discrete-time approximation of decoupled Forward-Backward SDE with jumps
• Approximating explicitly the mean-reverting CEV process
• Numerical solutions of backward stochastic differential equations: a finite transposition method

zbMATH Keywords

numerical resultsWiener processPoisson processmathematical financebackward Euler methodnon-Lipschitz coefficientsjump-adapted method[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=jump-diffusion+It%EF%BF%BD%EF%BF%BD+stochastic+differential+equation&go=Go jump-diffusion It�� stochastic differential equation]jump-extended CIR and CEV modelsstrong convergence rates

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Cites Work

• Financial Modelling with Jump Processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Strong approximations of stochastic differential equations with jumps
• Numerical solution of stochastic differential equations with jumps in finance
• Numerical methods for nonlinear stochastic differential equations with jumps
• The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
• On the discretization schemes for the CIR (and Bessel squared) processes
• Strong order one convergence of a drift implicit Euler scheme: application to the CIR process
• An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
• Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
• A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
• Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations
• An explicit and positivity preserving numerical scheme for the mean reverting CEV model
• First order strong approximations of scalar SDEs defined in a domain
• Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance
• High order discretization schemes for the CIR process: application to affine term structure and heston models
• Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump
• Structure preserving stochastic integration schemes in interest rate derivative modeling
• Jump-diffusion CIR model and its applications in credit risk
• First and second moment reversion for a discretized square root process with jumps

Cited In (21)

• An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump
• Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model
• On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
• On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case
• Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients
• Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump
• Log-Harnack inequality and exponential ergodicity for distribution dependent Chan-Karolyi-Longstaff-Sanders and Vasicek models
• Jump systems with the mean-reverting \(\gamma \)-process and convergence of the numerical approximation
• Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump
• Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps
• Strong convergence in infinite time interval of tamed-adaptive Euler-Maruyama scheme for Lévy-driven SDEs with irregular coefficients
• The truncated EM method for stochastic differential equations with Poisson jumps
• Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems
• Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model
• Strong convergence and stationary distribution of an explicit scheme for the Wright-Fisher model
• Construction of positivity preserving numerical method for jump-diffusion option pricing models
• Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model
• Harnack and super Poincaré inequalities for generalized Cox-Ingersoll-Ross model
• Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations
• Approximating explicitly the mean-reverting CEV process
• Finite element methods and their error analysis for SPDEs driven by Gaussian and non-Gaussian noises

This page was built for publication: A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q503350)