Weak and Strong Taylor methods for numerical solutions of stochastic differential equations
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References listed on IDEAS
- Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
- Erik Schlögl, 2002.
"A multicurrency extension of the lognormal interest rate Market Models,"
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- Erik Schlögl, 1999. "A Multicurrency Extension of the Lognormal Interest Rate Market Models," Research Paper Series 20, Quantitative Finance Research Centre, University of Technology, Sydney.
- Miltersen, Kristian R & Sandmann, Klaus & Sondermann, Dieter, 1997.
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- repec:wsi:ijtafx:v:15:y:2012:i:06:n:s0219024912500446 is not listed on IDEAS
- Wolfgang Kluge & Antonis Papapantoleon, 2009. "On the valuation of compositions in L\'evy term structure models," Papers 0902.3456, arXiv.org.
- repec:wsi:ijtafx:v:13:y:2010:i:08:n:s0219024910006169 is not listed on IDEAS
- Martin Keller-Ressel & Antonis Papapantoleon & Josef Teichmann, 2009. "The affine LIBOR models," Papers 0904.0555, arXiv.org, revised Jul 2011.
- Antonis Papapantoleon & Maria Siopacha, 2009. "Strong Taylor approximation of stochastic differential equations and application to the L\'evy LIBOR model," Papers 0906.5581, arXiv.org, revised Oct 2010.
- Wolfgang Kluge & Antonis Papapantoleon, 2009. "On the valuation of compositions in Levy term structure models," Quantitative Finance, Taylor & Francis Journals, vol. 9(8), pages 951-959.
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