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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, KINGS COLL LONDON, LONDON, ENGLAND, JUL 10-14, 2000. Published in: DISORDERED AND COMPLEX SYSTEMS, 553 pp. 315-320. ISBN 1-56396-983-1. ISSN 0094-243X.
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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) | ||||
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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 | ||||
Official Date: | 2001 | ||||
Dates: |
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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 |
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