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Numerical Solution of Stochastic Differential Equations · Study

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ChapterNumerical Solution of Stochastic Differential Equations

Geon Ho Choe2016

Chapter2016

Numerical Solution of Stochastic Differential Equations

223 citations·0/0 files stored·Universitext

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Stochastic processes and financial applications Numerical methods for differential equations Fuzzy Systems and Optimization

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References

1973The Pricing of Options and Corporate Liabilities 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1985A Theory of the Term Structure of Interest Rates 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1977An equilibrium characterization of the term structure 1979Option pricing: A simplified approach

Cited by

2008Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing 2008Parameter estimation and bias correction for diffusion processes 2012Numerical schemes for dynamically orthogonal equations of stochastic fluid and ocean flows 2009On the Moments of the Modulus of Continuity of Itô Processes 2007Mean–variance portfolio and contribution selection in stochastic pension funding 2006Structure preserving stochastic integration schemes in interest rate derivative modeling

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2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 17 shared references 2012Finite-Element Methodschapter · 15 shared references 2001Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysisarticle · 14 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 13 shared references 1994Martingales, Arbitrage, and Portfolio Choicechapter · 13 shared references 1998Arbitrage Theory in Continuous Timebook · 12 shared references

Details

Year2016

Typechapter

Published2016-01-01

VenueUniversitext

ISSN-L0172-5939

Languageen

Citations223

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-319-25589-7_30

openalex_workW2501971978

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2009Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates

2004An Option Pricing Formula for the GARCH Diffusion Model