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Valuation of financial models with non-linear state spaces
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UNSPECIFIED (2001) Valuation of financial models with non-linear state spaces. In: International Conference on Disordered and Complex Systems, JUL 10-14, 2000, KINGS COLL LONDON, LONDON, ENGLAND.
Full text not available from this repository.Abstract
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 |
| ISBN: | 1-56396-983-1 |
| ISSN: | 0094-243X |
| Editor: | Sollich, P and Coolen, ACC and Hughston, LP and Streater, RF |
| Date: | 2001 |
| Volume: | 553 |
| Number of Pages: | 6 |
| Page Range: | pp. 315-320 |
| Publication Status: | Published |
| 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 |
| URI: | http://wrap.warwick.ac.uk/id/eprint/11439 |
Data sourced from Thomson Reuters' Web of Knowledge
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