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High order splitting schemes with complex timesteps and their application in mathematical finance
- Doersek, Philipp (author)
-
- Hansen, Eskil (author)
- Lund University,Lunds universitet,Numerisk analys,Forskargrupper vid Lunds universitet,Matematik LTH,Matematikcentrum,Institutioner vid LTH,Lunds Tekniska Högskola,Numerical Analysis,Lund University Research Groups,Mathematics (Faculty of Engineering),Centre for Mathematical Sciences,Departments at LTH,Faculty of Engineering, LTH
- (creator_code:org_t)
- Elsevier BV, 2014
- 2014
- English.
- In: Journal of Computational and Applied Mathematics. - : Elsevier BV. - 0377-0427. ; 262, s. 234-243
- Journal article (peer-reviewed)
Abstract
Subject headings
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- High order splitting schemes with complex timesteps are applied to Kolmogorov backward equations stemming from stochastic differential equations in the Stratonovich form. in the setting of weighted spaces, the necessary analyticity of the split semigroups can easily be proved. A numerical example from interest rate theory, the CIR2 model, is considered. The numerical results are robust for drift-dominated problems and confirm our theoretical results. (C) 2013 Elsevier B.V. All rights reserved.
Subject headings
- NATURVETENSKAP -- Matematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics (hsv//eng)
Keyword
- Splitting methods
- Complex coefficients
- Mathematical finance
- Convection-dominated problems
- Interest rate theory
Publication and Content Type
- art (subject category)
- ref (subject category)
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