Search Results - subject:"finite-difference"

Application of Fractal Processes and Fractional Derivatives in Finance

Chan, Leung Lung (contributor) - 2024

In recent years, there has been a fast growth in the application of long-memory processes to underlying assets including stock, volatility index, exchange rate, etc. The fractional Brownian motion is the most popular of the long-memory processes and was introduced by Kolmogorov in 1940 and later...

Persistent link: https://www.econbiz.de/10015324975

Convergence of infinitesimal generators and stability of convex monotone semigroups

Blessing, Jonas; Kupper, Michael; Nendel, Max - 2023

schemes and Yosida-type approximations for upper envelopes of families of linear semigroups, stability results and finite-difference …

Persistent link: https://www.econbiz.de/10014284976

Convergence of infinitesimal generators and stability of convex monotone semigroups

Blessing, Jonas; Kupper, Michael; Nendel, Max - 2023

finite-difference schemes for convex HJB equations, Freidlin-Wentzell-type results and Markov chain approximations for a …

Persistent link: https://www.econbiz.de/10014374628

Effect of stop-loss reinsurance on primary insurer solvency

Constantinescu, Corina; Dias, Alexandra; Li, Bo; Siska, … - In: Risks : open access journal 10 (2022) 10, pp. 1-15

probability when no reinsurance is bought. We develop a finite-difference method for solving the (partial integro …

Persistent link: https://www.econbiz.de/10013556669

A general machine learning framework of real-time evaluation for financial derivatives portfolios

Zhang, Liangliang; Tian, Ruyan; Yang, Qing; Ye, Tingting - In: Review of derivatives research 28 (2025) 2, pp. 1-21

Persistent link: https://www.econbiz.de/10015440643

Heterogeneous-agent models in asset pricing : the dynamic programming approach and finite difference method

Gil, Hamilton Galindo - In: The B.E. journal of theoretical economics 25 (2025) 1, pp. 213-253

Persistent link: https://www.econbiz.de/10015433300

Callable Mortgage Bonds : Numerical Methods and Valuation Models for Pricing and Risk Analysis

Rom, Niels - 2025

Estimation -- Chapter 5. Stochastic Interest Rate Model -- Chapter 6. Simulation -- Chapter 7. Finite Difference -- Chapter 8 … been either a Monte Carlo simulation or a Finite Difference method. This book covers both methods and, in addition, the …

Persistent link: https://www.econbiz.de/10015401840