A path-integral approximation for non-linear diffusions
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Publication:5215434
DOI10.1080/14697688.2019.1646924zbMATH Open1431.91389OpenAlexW2969682570MaRDI QIDQ5215434FDOQ5215434
Authors: Luca Capriotti 
Publication date: 10 February 2020
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2019.1646924
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- Approximations of bond and swaption prices in a Black-Karasiński model
- Transition densities for interest rate and other nonlinear diffusions
Cited In (6)
- Transition densities for interest rate and other nonlinear diffusions
- A variational approach to nonlinear and interacting diffusions
- A path integral approach to random motion with nonlinear friction
- Path integral derivation and numerical computation of large deviation prefactors for non-equilibrium dynamics through matrix Riccati equations
- Closed-form approximations for diffusion densities: A path integral approach.
- THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES
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