Essays about: "stochastic Taylor expansion"

Found 3 essays containing the words stochastic Taylor expansion.

1. 1. Advanced methods for pricing financial derivatives in a market modelwith two stochastic volatilities

   University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

   Author : Victor Folajin; [2021]
   Keywords : Financial derivative; market model; cubature method; stochastic Taylor expansion; Stratonovich integral;

   Abstract : This thesis is on an advanced method for pricing financial derivatives in a market model,which comprises two stochastic volatilities. Financial derivatives are instruments whosethat is related to any financial asset. Underlying assets in derivatives are mostly financialinstruments; such as security, currency or a commodity. READ MORE

3. 2. Cubature on Wiener Space for the Heath--Jarrow--Morton framework

   University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

   Author : Lutufyo Mwangota; [2019]
   Keywords : Heath–Jarrow–Morton model; stochastic Taylor expansion; Cubature formulae; Brownian signature; forward rate.;

   Abstract : This thesis established the cubature method developed by Gyurkó & Lyons (2010) and Lyons & Victor (2004) for the Heath–Jarrow–Morton (HJM) model. The HJM model was first proposed by Heath, Jarrow, and Morton (1992) to model the evolution of interest rates through the dynamics of the forward rate curve. READ MORE

4. 3. Stochastic Differential Equations : and the numerical schemes used to solve them

   University essay from Institutionen för matematik och matematisk statistik

   Author : Erik Liljas; [2014]
   Keywords : stochastic differential equations; o-Taylor expansion schemes;

   Abstract : This thesis explains the theoretical background of stochastic differential equations in one dimension. We also show how to solve such differential equations using strong It o-Taylor expansion schemes over large time grids. READ MORE