Weak and strong Taylor methods for numerical solutions of stochastic differential equations

DOI10.1080/14697680903493573zbMath1214.91136arXiv0704.0745OpenAlexW2144513849MaRDI QIDQ3005813

Josef Teichmann, Maria Siopacha

Publication date: 9 June 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0704.0745

zbMATH Keywords

stochastic volatilityMalliavin calculusmathematical financeinterest rate derivativesinterest rate modellingLIBOR market modelsoption pricing via simulation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (10)

On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model ⋮ General Asymptotics of Wiener Functionals and Application to Implied Volatilities ⋮ Asymptotic Expansion Approach in Finance ⋮ On the approximations of solutions to stochastic differential equations under polynomial condition ⋮ Pricing discrete barrier options under stochastic volatility ⋮ Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms ⋮ Smart expansion and fast calibration for jump diffusions ⋮ A Multiple Curve Lévy Swap Market Model ⋮ THE AFFINE LIBOR MODELS ⋮ NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME

Cites Work

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• A remark on the asymptotic expansion of density function of Wiener functionals
• LIBOR and swap market models and measures
• A multicurrency extension of the lognormal interest rate market models
• The Lévy LIBOR model
• The Malliavin Calculus and Related Topics
• SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL
• The Market Model of Interest Rate Dynamics
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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