Weak and strong Taylor methods for numerical solutions of stochastic differential equations
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Author / Producer
Date
2011-04
Publication Type
Journal Article
ETH Bibliography
yes
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Altmetric
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Publication status
published
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Book title
Journal / series
Volume
11 (4)
Pages / Article No.
517 - 528
Publisher
Routledge
Event
Edition / version
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Software
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Date collected
Date created
Subject
Stochastic volatility; LIBOR market models; Mathematical finance; Option pricing via simulation; Interest rate modelling; Interest rate derivatives; Malliavin calculus
Organisational unit
03845 - Teichmann, Josef / Teichmann, Josef
Notes
Received 5 April 2007, In final form 14 September 2009.