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Stability of ADI schemes for multidimensional diffusion equations with mixed derivative terms
Stability of ADI schemes multidimensional diffusion equations mixed derivative terms Numerical Analysis
2012/6/5
In this paper the unconditional stability of four well-known ADI schemes is analyzed in the application to time-dependent multidimensional diffusion equations with mixed derivative terms. Necessary an...
Multilevel Monte Carlo method for jump-diffusion SDEs
Multilevel Monte Carlo method jump-diffusion SDEs expected payoff jump rates
2011/7/4
We investigate the extension of the multilevel Monte Carlo path
simulation method to jump-diffusion SDEs. We consider models with
finite rate activity , using a jump-adapted discretisation in which ...
Utility based pricing and hedging of jump diffusion processes with a view to applications
pricing hedging of jump diffusion processes marginal optimal hedge
2011/7/4
We discuss utility based pricing and hedging of jump di usion pro-
cesses with emphasis on the practical applicability of the framework. We
point out two diculties that seem to limit this applicabi...
Density Approximations for Multivariate Affine Jump-Diffusion Processes
Affine Processes Asymptotic Expansion Density Approximation
2011/7/25
Abstract: We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hi...
Solvable Nonlinear Volatility Diffusion Models with Affine Drift
Solvable Nonlinear Volatility Diffusion Models Affine Drift
2010/11/1
We present a method for constructing new families of solvable one-dimensional di usions with linear drift and nonlinear di usion coecient functions, whose tran-sition densities are obtainable in anal...
Statistical mixing and aggregation in Feller diffusion
New applications of statistical mechanics Stochastic processes Rigorous results in statistical mechanics
2010/11/2
We consider Feller mean-reverting square-root diffusion, which has been applied to model a wide variety of processes with linearly state-dependent diffusion,such as stochastic volatility and interest ...
Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion
Discrete Data the Underlying Continuous-Time Model a Diffusion
2014/3/13
Can discretely sampled financial data help us decide which continuous-time models are sensible? Diffusion processes are characterized by the continuity of their sample paths. This cannot be verified f...