Computation of Fredholm determinants for quadratic Ornstein-Uhlenbeck functionals

DOI10.11650/TJM.19.2015.4072MaRDI QIDQ514947zbMATHOpenAlexFDO

Authors Nicolas Privault, Hailing Wu

Publication date 9 March 2017

Published in Taiwanese Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.11650/tjm.19.2015.4072

zbMATH Keywords

Ornstein-Uhlenbeck processbond pricingCox-Ingersoll-Ross modelVolterra operatorsFredholm expansions and equationsquadratic Brownian functionals

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Laplace transform (44A10) Volterra integral equations (45D05) Fredholm integral equations (45B05) Numerical computation of determinants (65F40)

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Cited in

(1)

• Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators

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