Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model

DOI10.1007/S10543-010-0288-YzbMATH Open1230.65011OpenAlexW2152573633MaRDI QIDQ634110FDOQ634110

Authors: Lukasz Szpruch, Xuerong Mao, Desmond J. Higham, Jiazhu Pan 

Publication date: 2 August 2011

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10543-010-0288-y

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zbMATH Keywords

Monte Carlo methodinterest ratemodel calibrationmoment boundbackward Euler-Maruyama discretization algorithmIto equation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited In (71)

• Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations
• First order strong convergence of positivity preserving logarithmic Euler-Maruyama method for the stochastic SIS epidemic model
• Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
• Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation
• Tamed-Euler method for nonlinear switching diffusion systems with locally Hölder diffusion coefficients
• Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient
• Numerical approximation of stochastic differential delay equation with coefficients of polynomial growth
• Highly nonlinear model in finance and convergence of Monte Carlo simulations
• Ergodicity of scalar stochastic differential equations with Hölder continuous coefficients
• On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
• Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model
• Convergence of numerical methods for stochastic differential equations in mathematical finance
• On the asymptotic stability and numerical analysis of solutions to nonlinear stochastic differential equations with jumps
• Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients
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• First order strong approximations of scalar SDEs defined in a domain
• Tail estimates for exponential functionals and applications to SDEs
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Discrete-time feedback control for highly nonlinear hybrid stochastic systems with non-differentiable delays
• Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions
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• Positivity preserving stochastic \(\theta\)-methods for selected SDEs
• An introduction to multilevel Monte Carlo for option valuation
• An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
• Property and numerical simulation of the Ait-Sahalia-Rho model with nonlinear growth conditions
• Numerical method for singular drift stochastic differential equation driven by fractional Brownian motion
• Numerical integration of mean reverting stochastic systems with applications to interest rate term structure simulation
• A positivity preserving Milstein-type method for stochastic differential equations with positive solutions
• Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay
• Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
• Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients
• Multi-level Monte Carlo methods with the truncated Euler-Maruyama scheme for stochastic differential equations
• Strong convergence and extinction of positivity preserving explicit scheme for the stochastic SIS epidemic model
• On the analysis of Ait-Sahalia-type model for rough volatility modelling
• An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence
• The improvement of the truncated Euler-Maruyama method for non-Lipschitz stochastic differential equations
• Unconditionally positivity-preserving explicit Euler-type schemes for a generalized Aït-Sahalia model
• Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition
• The logarithmic truncated EM method with weaker conditions
• Convergence of a exponential tamed method for a general interest rate model

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