Search Results - subject:"Integral approximation"

Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model

Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - 2009

Persistent link: https://www.econbiz.de/10008662364

Modelling the evolution of credit spreads using the Cox process within the HUM framework : a CDS option pricing model

Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - 2008

subfiltration structure. The Euler-Maruyama stochastic integral approximation and the Monte Carlo method are applied to develop a … calculations we simply use the Euler integral approximation Z T t0 fid(t0;s)ds = N¡1X i=n fid(n¢t;i¢t)¢t: Numerical results are …

Persistent link: https://www.econbiz.de/10003857131

On the exact and approximate distributions of the product of a Wishart matrix with a normal vector

Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema - In: Journal of Multivariate Analysis 122 (2013) C, pp. 70-81

In this paper we consider the distribution of the product of a Wishart random matrix and a Gaussian random vector. We derive a stochastic representation for the elements of the product. Using this result, the exact joint density for an arbitrary linear combination of the elements of the product...

Persistent link: https://www.econbiz.de/10010702799

Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model

Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - In: European journal of operational research : EJOR 208 (2011) 2, pp. 95-108

Persistent link: https://www.econbiz.de/10008779603

Stinebrickner, Todd R. - 1998

quadrature integral approximation techniques and is based on a new, non-parametric value function approximation algorithm which …

Persistent link: https://www.econbiz.de/10009447280