Adaptive numerical methods for stochastic differential equation models with non-Lipschitz coefficients

Abstract

We present adaptive timestepping strategies for stochastic differential equation models with non-Lipschitz coefficients: consider for example the superlinear diffusion coefficient of the 3/2 stochastic volatility model. These... [ view full abstract ]

Authors

  1. Conall Kelly (University College Cork)
  2. Gabriel Lord (Heriot-Watt University)
  3. Alexandra Rodkina (The University of the West Indies)
  4. Eeva Rapoo (The University of South Africa)

Topic Areas

Computational Finance , Numerical Methods , Stochastic Analysis

Session

MO-A-UI » Stochastic Differential Equations in Finance: Simulation, Estimation and Approximation (11:30 - Monday, 16th July, Ui Chadhain)

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