Essays about: "Euler approximation"
Showing result 11 - 13 of 13 essays containing the words Euler approximation.
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11. Stochastic Partial Differential Equations with Multiplicative Noise - Numerical simulations of strong and weak approximation errors
University essay from Göteborgs universitet/Institutionen för matematiska vetenskaperAbstract : A finite element Galerkin spatial discretization together with a backward Euler scheme is implemented to simulate strong error rates of the homogeneous stochastic heat equation with multiplicative trace class noise in one dimension. For the noise, two different operators displaying different degrees of regularity are considered, one of which is of Nemytskii type. READ MORE
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12. Discrete space-simulation for Lévy processes
University essay from Lunds universitet/Matematisk statistikAbstract : In this thesis I will present a way of discretizing Lévy processes in space instead of in time. The foundation is built on work done by Adalbjörnsson,Quiroz and Wiktorsson, which shows how this is done for Brownian motions with constant drift and volatility. READ MORE
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13. A Further Look at Short –Term Interest Rate Dynamics
University essay from Göteborgs universitet/Graduate SchoolAbstract : Short-term interest rate analysis is one of the most important topics in finance and economics. This paper looks at short-term interest rate dynamics using three different interest rate proxies with different maturities, one-month Eurodollar deposit rate, overnight Federal Funds rate, and Three-month Treasury bill yield under one flexible parametric specifications. READ MORE
