Pitfalls of the fourier transform method in affine models, and remedies
Sergei Levendorskiĭ (Department of Mathematics, The University of Leicester, Leicester, United Kingdom of Great Britain and Northern Ireland)
| Year of publication: |
May 2016
|
|---|---|
| Authors: | Levendorskij, Sergej Z. |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 23.2016, 1/2, p. 81-134
|
| Subject: | Affine models | parabolic (inverse) Fourier transform | moment explosions | Riccati equations | Runge-Kutta method | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Mathematik | Mathematics |