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A Visual Classification of Local Martingales
Hulley, Hardy - 2012
This paper considers the problem of when a local martingale is a martingale or a universally integrable martingale, for the case of time-homogeneous scalar diffusions. Necessary and suffcient conditions of a geometric nature are obtained for answering this question. These results are widely...
Persistent link: https://www.econbiz.de/10013097968
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Weak discrete time approximation of stochastic differential equations with time delay
Küchler, Uwe; Platen, Eckhard - 2001
equations with time delay. These are suitable for Monte Carlo simulation and allow the computation of expectations for …
Persistent link: https://www.econbiz.de/10010310333
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Real world pricing of long term contracts
Platen, Eckhard - 2009
Persistent link: https://www.econbiz.de/10008662357
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Numerical solution of stochastic differential equations with jumps in finance
Platen, Eckhard; Bruti-Liberati, Nicola - 2010 - 1. ed.
Persistent link: https://www.econbiz.de/10003934874
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Real-world pricing for a modified constant elasticity of variance model
Miller, Shane M.; Platen, Eckhard - In: Applied mathematical finance 17 (2010) 1/2, pp. 147-175
Persistent link: https://www.econbiz.de/10003975379
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Strong predictor-corrector Euler methods for stochastic differential equations
Bruti-Liberati, Nicola; Platen, Eckhard - 2008
Persistent link: https://www.econbiz.de/10003857121
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Real world pricing for a modified constant elasticity of variance model
Miller, Shane M.; Platen, Eckhard - 2008
Persistent link: https://www.econbiz.de/10003857174
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A Monte Carlo method using PDE expansions for a diversifed equity index model
Heath, David C.; Platen, Eckhard - 2014
Persistent link: https://www.econbiz.de/10011344801
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On the efficiency of simplified weak Taylor schemes for Monte Carlo simulation in finance
Liberati, Nicola Bruti; Platen, Eckhard - 2004
Persistent link: https://www.econbiz.de/10002250960
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A hardware generator of multi-point distributed random numbers for Monte Carlo simulation
Bruti-Liberati, Nicola; Martini, Filippo; Piccardi, Massimo - 2005
Persistent link: https://www.econbiz.de/10002863383