Valuation of financial models with non-linear state spaces
UNSPECIFIED (2001) Valuation of financial models with non-linear state spaces. In: International Conference on Disordered and Complex Systems, KINGS COLL LONDON, LONDON, ENGLAND, JUL 10-14, 2000. Published in: DISORDERED AND COMPLEX SYSTEMS, 553 pp. 315-320.Full text not available from this repository.
A common assumption in valuation models for derivative securities is that the underlying state variables take values in a linear state space. We discuss numerical implementation issues in an interest rate model with a simple non-linear state space, formulating and comparing Monte Carlo, finite difference and lattice numerical solution methods. We conclude that, at least in low dimensional spaces, non-linear interest rate models may he viable.
|Item Type:||Conference Item (UNSPECIFIED)|
|Subjects:||Q Science > QC Physics|
|Series Name:||AIP CONFERENCE PROCEEDINGS|
|Journal or Publication Title:||DISORDERED AND COMPLEX SYSTEMS|
|Publisher:||AMER INST PHYSICS|
|Editor:||Sollich, P and Coolen, ACC and Hughston, LP and Streater, RF|
|Number of Pages:||6|
|Page Range:||pp. 315-320|
|Title of Event:||International Conference on Disordered and Complex Systems|
|Location of Event:||KINGS COLL LONDON, LONDON, ENGLAND|
|Date(s) of Event:||JUL 10-14, 2000|
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