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Der Begriff der A-Stabilität wird auf lineare Differentialgleichungen mit Gedächtnis übertragen. Es erfolgt eine explizite Berechnung des Stabilitätsgebietes des expliziten Eulerverfahrens für affine Testgleichungen mit einem reellen Parameter und einer echten Zeitverzögerung im Driftterm....
Persistent link: https://www.econbiz.de/10010983465
The paper considers the derivation of weak discrete time approximations for solutions of stochastic differential equations with time delay. These are suitable for Monte Carlo simulation and allow the computation of expectations for functionals of stochastic delay equations. The suggested...
Persistent link: https://www.econbiz.de/10010983497
The paper introduces an approach for the derivation of discrete time approximations for solutions of stochastic differential equations (SDEs) with time delay. The suggested approximations converge in a strong sense. Furthermore, explicit solutions for linear stochastic delay equations are given.
Persistent link: https://www.econbiz.de/10011050382
This paper considers the derivation of weak discrete time approximations for solutions of stochastic differential equations with time delay. These are suitable for Monte Carlo simulation and allow the computation of expectations for functionals of stochastic delay equations. The suggested...
Persistent link: https://www.econbiz.de/10011050988
Market models which re ect stylised properties of the interest rate term structure are widely used for modelling and pricing interest rate derivatives. We consider a market model involving the short rate and a diversied global stock index. We illustrate the stylised properties of the interest...
Persistent link: https://www.econbiz.de/10011163382
Many providers of variable annuities such as pension funds and life insurers seek to hedge their exposure to embedded guarantees using longdated derivatives. This paper extends the benchmark approach to price and hedge long-dated equity index options using a combination of cash, bonds and...
Persistent link: https://www.econbiz.de/10011267814
This paper considers a new class of Monte Carlo methods that are combined with PDE expansions for the pricing and hedging of derivative securities for multidimensional diffusion models. The proposed method combines the advantages of both PDE and Monte Carlo methods and can be directly applied to...
Persistent link: https://www.econbiz.de/10010888484
In this paper, we present an alternative approach as a suitable framework under which liability driven investments can be valued and hedged. This benchmark approach values both assets and liabilities consistently under the real world probability measure using the best performing portfolio, the...
Persistent link: https://www.econbiz.de/10010883496
This paper derives a unified framework for portfolio optimization, derivative pricing, financial modeling and risk measurement. It is based on the natural assumption that investors prefer more or less, in the sense that the higher drift is preferred. Each such investor is shown to hold an...
Persistent link: https://www.econbiz.de/10004984454
This paper uses Lie symmetry group methods to obtain transition probability densities for scalar diffusions, where the diffusion coefficient is given by a power law. We will show that if the drift of the diffusion satisfies a certain family of Riccati equations, then it is possible to compute a...
Persistent link: https://www.econbiz.de/10004984456