Kernel-based collocation methods for Heath–Jarrow–Morton models with Musiela parametrization
From MaRDI portal
Publication:5086713
DOI10.1080/17442508.2020.1817024zbMath1496.60082arXiv1809.05643OpenAlexW3089129848MaRDI QIDQ5086713
Yuki Kinoshita, Yumiharu Nakano
Publication date: 7 July 2022
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1809.05643
Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Wendland functions with increasing smoothness converge to a Gaussian
- Multiquadrics - a scattered data approximation scheme with applications to computational fluid-dynamics. I: Surface approximations and partial derivative estimates
- Heath-Jarrow-Morton-Musiela equation with Lévy perturbation
- Multiquadrics -- a scattered data approximation scheme with applications to computational fluid-dynamics. II: Solutions to parabolic, hyperbolic and elliptic partial differential equations
- Stochastic calculus for finance. II: Continuous-time models.
- Unsymmetric meshless methods for operator equations
- Kernel-based collocation methods for Zakai equations
- Convergence of meshfree collocation methods for fully nonlinear parabolic equations
- The meshless kernel-based method of lines for parabolic equations
- Efficient Simulation and Calibration of General HJM Models by Splitting Schemes
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Approximation of stochastic partial differential equations by a kernel-based collocation method
- Stochastic Equations in Infinite Dimensions
- Arbitrage Theory in Continuous Time
- Scattered Data Approximation
- Consistency problems for Heath-Jarrow-Morton interest rate models
This page was built for publication: Kernel-based collocation methods for Heath–Jarrow–Morton models with Musiela parametrization