Weak and strong Taylor methods for numerical solutions of stochastic differential equations

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Author
Siopacha, Maria
Teichmann, Josef
Date
2011-04
Type
  • Journal Article
Publication status
published
External links
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Journal / series
Quantitative Finance
Volume
11(4)
Pages / Article No.
517 - 528
Publisher
Routledge; Taylor & Francis
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  
Notes
Received 5 April 2007, In final form 14 September 2009.
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Citations
Cited 5 times in Web of Science
ETH Bibliography
yes
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