Weak and strong Taylor methods for numerical solutions of stochastic differential equations
Metadata only
Date
2011-04Type
- Journal Article
ETH Bibliography
yes
Altmetrics
Publication status
publishedExternal links
Journal / series
Quantitative FinanceVolume
Pages / Article No.
Publisher
RoutledgeSubject
Stochastic volatility; LIBOR market models; Mathematical finance; Option pricing via simulation; Interest rate modelling; Interest rate derivatives; Malliavin calculusOrganisational unit
03845 - Teichmann, Josef / Teichmann, Josef
Notes
Received 5 April 2007, In final form 14 September 2009.More
Show all metadata
ETH Bibliography
yes
Altmetrics