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Convergence of numerical methods for stochastic differential equations in mathematical finance
16 references·0 citing·30 second hop
Convergence of numerical methods for stochastic differential equations in mathematical finance (2012)Convergence of numerical methods for stoc…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients (2014)Numerical approximations of s…Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Strong convergence of an expl…Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients (2010)Strong and weak divergence in…High order discretization schemes for the CIR process: Application to affine term structure and Heston models (2009)High order discretization sch…A comparison of biased simulation schemes for stochastic volatility models (2009)A comparison of biased simula…Multilevel Monte Carlo Path Simulation (2008)Multilevel Monte Carlo Path S…Improved Multilevel Monte Carlo Convergence using the Milstein Scheme (2007)Improved Multilevel Monte Car…Moment explosions in stochastic volatility models (2006)Moment explosions in stochast…Maximum likelihood estimation of stochastic volatility models (2006)Maximum likelihood estimation…Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)Exact Simulation of Stochasti…On the discretization schemes for the CIR (and Bessel squared) processes (2005)On the discretization schemes…Testing Continuous-Time Models of the Spot Interest Rate (1996)Testing Continuous-Time Model…Efficient Monte Carlo Simulation of Security Prices (1995)Efficient Monte Carlo Simulat…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Stochastic differential equations and their applications (1997)A note on tamed Euler approximations (2013)Euler approximations with varying coefficients: The case of superlinearly growing diffusion coefficients (2016)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Monte Carlo Methods in Financial Engineering (2003)Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients (2011)Optimal Model Management for Multifidelity Monte Carlo Estimation (2016)An equilibrium characterization of the term structure (1977)Specification Tests in Econometrics (1978)Nonparametric risk management and implied risk aversion (2000)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Efficient Simulation of the Heston Stochastic Volatility Model (2006)Brownian Motion and Stochastic Calculus (2007)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Exploring the sources of default clustering (2018)Deep hedging (2019)The Price of Correlation Risk: Evidence from Equity Options (2009)Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (2010)Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices (2010)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 2008Multilevel Monte Carlo Path Simulation1,436 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited
  • 2006Maximum likelihood estimation of stochastic volatility models538 cited
  • 2006Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes493 cited
  • 2010Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients431 cited
  • 2012Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients428 cited
  • 2006Moment explosions in stochastic volatility models403 cited
  • 2009A comparison of biased simulation schemes for stochastic volatility models316 cited
  • 2005On the discretization schemes for the CIR (and Bessel squared) processes246 cited
  • 2014Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients227 cited
  • 2007Improved Multilevel Monte Carlo Convergence using the Milstein Scheme

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205 cited
  • 1995Efficient Monte Carlo Simulation of Security Prices173 cited
  • 2009High order discretization schemes for the CIR process: Application to affine term structure and Heston models169 cited
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