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Forecasting dirty tanker freight rate index by using stochastic differential equations

Jafari, Hossein; Rahimi, Ghazaleh - In: International journal of financial engineering 5 (2018) 4, pp. 1-15

Persistent link: https://www.econbiz.de/10012028815

VIX-linked fees for GMWBs via explicit solution simulation methods

Kouritzin, Michael A.; MacKay, Anne - In: Insurance / Mathematics & economics 81 (2018), pp. 1-17

Persistent link: https://www.econbiz.de/10011904577

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

Financial modeling : a backward stochastic differential equations perspective

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Persistent link: https://www.econbiz.de/10009770436

Solutions and simulations of some one-dimensional stochastic differential equations

Klebaner, Fima C.; Azmy, Eriny - In: Asia-Pacific financial markets 17 (2010) 4, pp. 365-372

Persistent link: https://www.econbiz.de/10009237754

Method of Iterated Integrals for Solution of Stochastic Integrals with Applications to Monte Carlo Simulation of Stochastic Differential Equations

Amin, Ahsan - 2018

integrand are given by some stochastic differential equation. We also propose numerical simulation of stochastic differential … integrals terms at the initial time of the simulation along with the solution of the stochastic integrals which is found in … terms of Hermite polynomials and variance of the integrals. We apply the method of iterated integrals to simulation of …

Persistent link: https://www.econbiz.de/10012925940