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

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

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

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

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

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

Statistical analysis Dow Jones Stock Index: Cumulative return gap and finite difference method

Yan, Kejia; Gupta, Rakesh; Haddad, Sama - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-44

, we also lead the finite difference (FD) method into the autoregressive (AR) model and autoregressive distributed lag …

Persistent link: https://www.econbiz.de/10013201392

Statistical analysis Dow Jones Stock Index : cumulative return gap and finite difference method

Yan, Kejia; Gupta, Rakesh; Haddad, Sama - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-44

, we also lead the finite difference (FD) method into the autoregressive (AR) model and autoregressive distributed lag …

Persistent link: https://www.econbiz.de/10012888211

Cloud droplets scavenging of gaseous pollutant from the atmosphere : nonlinear modelling and analyses

Yinusa, A.A.; Sobamowo, M.G.; Ojolo, S.J.; Usman, M.A. - In: Decision analytics journal 4 (2022), pp. 1-9

transform method (MSDTM). The obtained solutions are verified via a numerical finite difference method (FDM). These methods …

Persistent link: https://www.econbiz.de/10013448240

Method of lines for valuation and sensitivities of Bermudan options

Banerjee, Purba; Murthy, Vasudeva; Jain, Shashi - In: Computational economics 63 (2024) 1, pp. 245-270

Persistent link: https://www.econbiz.de/10014472099

PDE-based Bayesian inference of CEV dynamics for credit risk in stock prices

Kato, Kensuke; Nakamura, Nobuhiro - In: Asia Pacific financial markets 31 (2024) 2, pp. 389-421

Persistent link: https://www.econbiz.de/10014548392

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