Computation of Fredholm determinants for quadratic Ornstein-Uhlenbeck functionals

DOI10.11650/TJM.19.2015.4072zbMath1357.60086OpenAlexW1760156264MaRDI QIDQ514947

Hailing Wu, Nicolas Privault

Publication date: 9 March 2017

Published in: Taiwanese Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.11650/tjm.19.2015.4072

zbMATH Keywords

Ornstein-Uhlenbeck processCox-Ingersoll-Ross modelbond pricingVolterra operatorsFredholm expansions and equationsquadratic Brownian functionals

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Numerical computation of determinants (65F40) Fredholm integral equations (45B05) Volterra integral equations (45D05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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