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Semi-Closed Form Cubature and Applications to Financial Diffusion Models
Semi-Closed Cubature Applications Financial Diffusion Models
2010/10/21
Cubature methods, a powerful alternative to Monte Carlo due to Kusuoka~[Adv.~Math.~Econ.~6, 69--83, 2004] and Lyons--Victoir~[Proc.~R.~Soc.\\Lond.~Ser.~A 460, 169--198, 2004], involve the solution to...
On a class of semi-elliptic diffusion models. Part I: a constructive analytical approach for global existence, densities, and numerical schemes
Degenerate parabolic equations financial derivatives
2010/10/18
Semi-elliptic stochastic differential equations (SDEs) are common models among practitioners. However, value functions and sensitivities of such models are described by degenerate parabolic partial d...