Numerical evaluation of complex logarithms in the Cox–Ingersoll–Ross model

DOI10.1080/00207160.2012.749348zbMath1274.91453OpenAlexW2050307388MaRDI QIDQ2855741

No author found.

Publication date: 22 October 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2012.749348

zbMATH Keywords

Gauss-Lobatto quadratureCox-Ingersoll-Ross modeloscillatory integralcomplex logarithmFourier inversion methodsinterest-rate dynamics

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Characteristic functions; other transforms (60E10) Singular and oscillatory integrals (Calderón-Zygmund, etc.) (42B20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs

Cites Work

• Adaptive quadrature -- Revisited
• A Theory of the Term Structure of Interest Rates
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension

This page was built for publication: Numerical evaluation of complex logarithms in the Cox–Ingersoll–Ross model