Computation of Fredholm determinants for quadratic Ornstein-Uhlenbeck functionals

DOI10.11650/TJM.19.2015.4072MaRDI QIDQ514947zbMATH OpenOpenAlexFDO

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

bond pricingCox-Ingersoll-Ross modelFredholm expansions and equationsOrnstein-Uhlenbeck processquadratic Brownian functionalsVolterra operators

Mathematics Subject Classification ID

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

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Cited in

(2)

• Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators
• Complex discontinuities of the square root of Fredholm determinants in the Volterra Stein-Stein stochastic volatility model

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