FFT network for interest rate derivatives with Lévy processes

被引：0
|
作者：
Department of Mathematics and Information Technology, Education University of Hong Kong, Tai Po, Hong Kong [1 ]
不详 [2 ]
机构：
来源：
Jpn J. Ind. Appl. Math. | / 3卷 / 675-710期
关键词：
Compilation and indexing terms; Copyright 2024 Elsevier Inc;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Characteristic functions - Closed form solutions - Dependent variables - Efficient computation - Interest rates - Levy process - Numerical comparison - Term structure of interest rates
引用
收藏
相关论文
共 50 条
  • [21] A Construction of Reflecting Lévy Processes
    I. A. Ibragimov
    N. V. Smorodina
    M. M. Faddeev
    Doklady Mathematics, 2019, 99 : 71 - 74
  • [22] The multifractal nature of Lévy processes
    Stéphane Jaffard
    Probability Theory and Related Fields, 1999, 114 : 207 - 227
  • [23] On Exponential Functionals of Lévy Processes
    Anita Behme
    Alexander Lindner
    Journal of Theoretical Probability, 2015, 28 : 681 - 720
  • [24] Singularity sets of Lévy processes
    Arnaud Durand
    Probability Theory and Related Fields, 2009, 143 : 517 - 544
  • [25] Precise Asymptotics for Lévy Processes
    Zhi Shui HU
    Chun SU
    Acta Mathematica Sinica,English Series, 2007, 23 (07) : 1265 - 1270
  • [26] On Exponential Functionals of L,vy Processes
    Behme, Anita
    Lindner, Alexander
    JOURNAL OF THEORETICAL PROBABILITY, 2015, 28 (02) : 681 - 720
  • [27] Transition Density Estimates for a Class of Lévy and Lévy-Type Processes
    Viktorya Knopova
    René L. Schilling
    Journal of Theoretical Probability, 2012, 25 : 144 - 170
  • [28] Risk bounds of learning processes for Lévy processes
    Zhang, C. (ZHANGCHAO1015@GMAIL.COM), 1600, Microtome Publishing (14):
  • [29] LOCAL TIME ANALYSIS OF ADDITIVE LVY PROCESSES WITH DIFFERENT LVY EXPONENTS
    钟玉泉
    Acta Mathematica Scientia, 2009, 29 (05) : 1155 - 1164
  • [30] Transition Density Estimates for a Class of L,vy and L,vy-Type Processes
    Knopova, Viktorya
    Schilling, Rene L.
    JOURNAL OF THEORETICAL PROBABILITY, 2012, 25 (01) : 144 - 170
12345