Show simple item record

dc.contributor.author
Dörsek, Philipp
dc.contributor.author
Hansen, Eskil
dc.date.accessioned
2017-06-10T12:09:56Z
dc.date.available
2017-06-10T12:09:56Z
dc.date.issued
2012
dc.identifier.uri
http://hdl.handle.net/20.500.11850/60614
dc.description.abstract
High order splitting schemes with complex timesteps are applied to Kolmogorov backward equations stemming from stochastic differential equations in Stratonovich form. In the setting of weighted spaces, the necessary analyticity of the split semigroups can be easily proved. A numerical example from interest rate theory, the CIR2 model, is considered. The numerical results are robust for drift-dominated problems, and confirm our theoretical results.
dc.language.iso
en
dc.publisher
Cornell University
dc.title
High order splitting schemes with complex timesteps and their application in mathematical finance
dc.type
Working Paper
ethz.pages.start
arXiv:1210.5392
ethz.notes
Submitted 19 October 2012.
ethz.publication.place
Ithaca, NY
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03845 - Teichmann, Josef / Teichmann, Josef
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03845 - Teichmann, Josef / Teichmann, Josef
ethz.identifier.url
http://arxiv.org/abs/1210.5392
ethz.date.deposited
2017-06-10T12:10:13Z
ethz.source
ECIT
ethz.identifier.importid
imp5936502568be715193
ethz.ecitpid
pub:96781
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-13T12:56:56Z
ethz.rosetta.lastUpdated
2018-11-02T07:06:55Z
ethz.rosetta.versionExported
true
ethz.COinS
ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.atitle=High%20order%20splitting%20schemes%20with%20complex%20timesteps%20and%20their%20application%20in%20mathematical%20finance&rft.date=2012&rft.spage=arXiv:1210.5392&rft.au=D%C3%B6rsek,%20Philipp&Hansen,%20Eskil&rft.genre=preprint&rft.btitle=High%20order%20splitting%20schemes%20with%20complex%20timesteps%20and%20their%20application%20in%20mathematical%20finance
 Search via SFX

Files in this item

FilesSizeFormatOpen in viewer

There are no files associated with this item.

Publication type

Show simple item record