Polynomial chaos expansion approach to interest rate models

DOI10.1155/2015/369053zbMath1427.91287OpenAlexW2190184442WikidataQ59114211 ScholiaQ59114211MaRDI QIDQ1657904

Michele Bonollo, Luca Di Persio, Gregorio Pellegrini

Publication date: 14 August 2018

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/369053

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (7)

Alternative to beta coefficients in the context of diffusions ⋮ Maximal irreducibility measure for spatial birth-and-death processes ⋮ Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence ⋮ Stochastic reaction-diffusion equations on networks with dynamic time-delayed boundary conditions ⋮ Estimating the counterparty risk exposure by using the Brownian motion local time ⋮ Asymptotic expansion for some local volatility models arising in finance ⋮ Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate

Uses Software

• NISP

Cites Work

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