Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
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Monte Carlo methodinterest ratemodel calibrationmoment boundbackward Euler-Maruyama discretization algorithmIto equation
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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Cites work
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 3505981 (Why is no real title available?)
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- The volatility of short-term interest rates: an empirical comparison of alternative models of the term structure of interest rates.
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(71)- An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
- 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
- Convergence of a exponential tamed method for a general interest rate model
- Tamed-Euler method for nonlinear switching diffusion systems with locally Hölder diffusion coefficients
- Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation
- Highly nonlinear model in finance and convergence of Monte Carlo simulations
- 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
- Ergodicity of scalar stochastic differential equations with Hölder continuous coefficients
- Numerical integration of mean reverting stochastic systems with applications to interest rate term structure simulation
- Numerical method for singular drift stochastic differential equation driven by fractional Brownian motion
- Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model
- On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
- Convergence of numerical methods for stochastic differential equations in mathematical finance
- A positivity preserving Milstein-type method for stochastic differential equations with positive solutions
- 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
- The truncated Milstein method for stochastic differential equations with commutative noise
- Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
- Backward Euler-Maruyama method applied to nonlinear hybrid stochastic differential equations with time-variable delay
- Structure preserving stochastic integration schemes in interest rate derivative modeling
- An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
- Numerical approximation for nonlinear stochastic pantograph equations with Markovian switching
- Distribution of the integral of maximum processes and applications
- Strong convergence of implicit numerical methods for nonlinear stochastic functional differential equations
- Positivity-preserving truncated Euler-Maruyama method for generalised Ait-Sahalia-type interest model
- Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay
- Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay
- Positivity preserving truncated Euler-Maruyama method for stochastic Lotka-Volterra competition model
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- Multi-level Monte Carlo methods with the truncated Euler-Maruyama scheme for stochastic differential equations
- Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift
- Strong convergence and asymptotic stability of explicit numerical schemes for nonlinear 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
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- An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence
- On the weak convergence rate of an exponential Euler scheme for SDEs governed by coefficients with superlinear growth
- Numerical solution to highly nonlinear neutral-type stochastic differential equation
- Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching
- Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation
- First order strong approximations of scalar SDEs defined in a domain
- The improvement of the truncated Euler-Maruyama method for non-Lipschitz stochastic differential equations
- Parameter estimation for generalized Ait-Sahalia-type interest rate model
- Tail estimates for exponential functionals and applications to SDEs
- Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
- Unconditionally positivity-preserving explicit Euler-type schemes for a generalized Aït-Sahalia model
- 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
- The truncated Euler-Maruyama method for stochastic differential equations with Hölder diffusion coefficients
- Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation
- Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations
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- An introduction to multilevel Monte Carlo for option valuation
- The logarithmic truncated EM method with weaker conditions
- Property and numerical simulation of the Ait-Sahalia-Rho model with nonlinear growth conditions
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