Pages that link to "Item:Q2479422"
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The following pages link to Structure preserving stochastic integration schemes in interest rate derivative modeling (Q2479422):
Displaying 35 items.
- A new numerical scheme for the CIR process (Q500385) (← links)
- A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models (Q503350) (← links)
- Continuous time mean variance asset allocation: a time-consistent strategy (Q621709) (← links)
- A non-standard symmetry-preserving method to compute bounded solutions of a generalized Newell-Whitehead-Segel equation (Q623282) (← links)
- Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump (Q724558) (← links)
- First order strong approximations of scalar SDEs defined in a domain (Q740810) (← links)
- Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation (Q846513) (← links)
- Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients (Q1016225) (← links)
- Numerical solution of jump-diffusion LIBOR market models (Q1424699) (← links)
- Construction of positivity-preserving numerical method for stochastic SIVS epidemic model (Q1716422) (← links)
- Construction of positivity preserving numerical method for stochastic age-dependent population equations (Q1737134) (← links)
- The semi-discrete method for the approximation of the solution of stochastic differential equations (Q1982270) (← links)
- Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model (Q1998366) (← links)
- Numerical analysis of the balanced implicit method for stochastic age-dependent capital system with Poisson jumps (Q2010734) (← links)
- Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations (Q2038153) (← links)
- Positivity preserving stochastic \(\theta\)-methods for selected SDEs (Q2058409) (← links)
- Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion (Q2074883) (← links)
- Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions (Q2088864) (← links)
- Numerical analysis of split-step \(\theta\) methods with truncated Wiener process for a stochastic SIS epidemic model (Q2161030) (← links)
- A new parameterization for the drift-free simulation in the Libor market model (Q2341004) (← links)
- Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model (Q2359660) (← links)
- Construction of positivity preserving numerical method for jump-diffusion option pricing models (Q2400313) (← links)
- Computational technique for simulating variable-order fractional Heston model with application in US stock market (Q2418460) (← links)
- Chi-square simulation of the CIR process and the Heston model (Q2841330) (← links)
- The improved split-step <i>θ</i> methods for stochastic differential equation (Q2931022) (← links)
- Stochastic Interest Rate Modeling with Fixed Income Derivative Pricing (Q3388120) (← links)
- Study on split-step Rosenbrock type method for stiff stochastic differential systems (Q5030526) (← links)
- Meshless approach for pricing Islamic Ijarah under stochastic interest rate models (Q5076603) (← links)
- Numerical analysis of a linearly backward Euler method with truncated Wiener process for a stochastic SIS model (Q6157444) (← links)
- Numerical analysis of the linearly implicit Euler method with truncated Wiener process for the stochastic SIR model (Q6161955) (← links)
- Positivity-preserving numerical method for a stochastic multi-group SIR epidemic model (Q6167767) (← links)
- Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients (Q6174717) (← links)
- Implicit Milstein schemes: preservation of properties when solving the CIR equation (Q6610851) (← links)
- Domain preserving and strongly converging explicit scheme for the stochastic SIS epidemic model (Q6633286) (← links)
- An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence (Q6649258) (← links)
