Pages that link to "Item:Q2849670"

The following pages link to Convergence of numerical methods for stochastic differential equations in mathematical finance (Q2849670):

Displaying 27 items.

• Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance (Q379049) (← links)
• Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients (Q475669) (← links)
• Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory (Q704796) (← links)
• A second-order weak approximation of Heston model by discrete random variables (Q904337) (← links)
• Approximating explicitly the mean-reverting CEV process (Q1657909) (← links)
• Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations (Q1696428) (← links)
• The semi-discrete method for the approximation of the solution of stochastic differential equations (Q1982270) (← links)
• Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model (Q2044133) (← links)
• Modeling fast diffusion processes in time integration of stiff stochastic differential equations (Q2084923) (← links)
• On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients (Q2184812) (← links)
• The non-linear sewing lemma III: stability and generic properties (Q2199333) (← links)
• Weak approximation of Heston model by discrete random variables (Q2228636) (← links)
• Theoretical and numerical analysis of the Euler-Maruyama method for generalized stochastic Volterra integro-differential equations (Q2332678) (← links)
• Loss of regularity for Kolmogorov equations (Q2338908) (← links)
• A novel approach to construct numerical methods for stochastic differential equations (Q2453472) (← links)
• Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications (Q2794727) (← links)
• An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients (Q2953948) (← links)
• (Q3160523) (← links)
• Consistency issues for numerical methods for variance control, with applications to optimization in finance (Q4506991) (← links)
• Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models (Q4562237) (← links)
• Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem (Q4581765) (← links)
• Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets (Q4635245) (← links)
• Optimal Convergence Rate of $\theta$--Maruyama Method for Stochastic Volterra Integro-Differential Equations with Riemann--Liouville Fractional Brownian Motion (Q5032347) (← links)
• The two-particle irreducible effective action for classical stochastic processes (Q5052051) (← links)
• Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model (Q5346007) (← links)
• Multilevel Monte Carlo simulation for the Heston stochastic volatility model (Q6144993) (← links)
• Positivity-preserving truncated Euler-Maruyama method for generalised Ait-Sahalia-type interest model (Q6181513) (← links)