A path-integral approximation for non-linear diffusions

DOI10.1080/14697688.2019.1646924MaRDI QIDQ5215434zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stochastic processesmaximum-likelihood estimationpath integralsderivative pricingzero-coupon bondsBlack-Karasinski modelArrow-Debreu pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 5509282 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 5934473 (Why is no real title available?)
• A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS
• An effective approximation for zero-coupon bonds and Arrow-Debreu prices in the Black-Karasinski model
• An equilibrium characterization of the term structure
• Approximate Formulas for Zero‐coupon Bonds
• Approximations of bond and swaption prices in a Black-Karasiński model
• Space-time approach to non-relativistic quantum mechanics
• THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES
• The path integral approach to financial modeling and options pricing
• Transition densities for interest rate and other nonlinear diffusions
• Wiener and integration in function spaces

Cited in

(7)

• Transition densities for interest rate and other nonlinear diffusions
• A variational approach to nonlinear and interacting diffusions
• THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES
• Closed-form approximations for diffusion densities: A path integral approach.
• A path integral approach to random motion with nonlinear friction
• Approximation methods for inhomogeneous geometric Brownian motion
• Path integral derivation and numerical computation of large deviation prefactors for non-equilibrium dynamics through matrix Riccati equations

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