295 research outputs found
Modelling FX smile : from stochastic volatility to skewness
Imperial Users onl
Non-negativity preserving numerical algorithms for stochastic differential equations
Construction of splitting-step methods and properties of related
non-negativity and boundary preserving numerical algorithms for solving
stochastic differential equations (SDEs) of Ito-type are discussed. We present
convergence proofs for a newly designed splitting-step algorithm and simulation
studies for numerous numerical examples ranging from stochastic dynamics
occurring in asset pricing theory in mathematical finance (SDEs of CIR and CEV
models) to measure-valued diffusion and superBrownian motion (SPDEs) as met in
biology and physics.Comment: 23 pages, 7 figures. Figures 6.2 and 6.3 in low resolution due to
upload size restrictions. Original resolution at
http://gisc.uc3m.es/~moro/profesional.htm
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