mdh.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Construction of moment-matching multinomial lattices using Vandermonde matrices and Gröbner bases
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)ORCID iD: 0000-0003-3204-617X
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. University of Nairobi, Kenya. (MAM)
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)ORCID iD: 0000-0003-4554-6528
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)ORCID iD: 0000-0002-0835-7536
Show others and affiliations
2017 (English)In: AIP Conference Proceedings / [ed] Sivasundaram, S, American Institute of Physics (AIP), 2017, Vol. 1798, 020094-1-020094-7 p., 020094Conference paper, Published paper (Refereed)
Abstract [en]

In order to describe and analyze the quantitative behavior of stochastic processes, such as the process followed by a financial asset, various discretization methods are used. One such set of methods are lattice models where a time interval is divided into equal time steps and the rate of change for the process is restricted to a particular set of values in each time step. The well-known binomial- and trinomial models are the most commonly used in applications, although several kinds of higher order models have also been examined. Here we will examine various ways of designing higher order lattice schemes with different node placements in order to guarantee moment-matching with the process. 

Place, publisher, year, edition, pages
American Institute of Physics (AIP), 2017. Vol. 1798, 020094-1-020094-7 p., 020094
National Category
Mathematics Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-35007DOI: 10.1063/1.4972686ISI: 000399203000094Scopus ID: 2-s2.0-85013643900ISBN: 9780735414648 (print)OAI: oai:DiVA.org:mdh-35007DiVA: diva2:1080153
Conference
11th International Conference on Mathematical Problems in Engineering, Aerospace and Sciences, ICNPAA 2016, 4 July 2016 through 8 July 2016
Funder
Sida - Swedish International Development Cooperation Agency
Available from: 2017-03-09 Created: 2017-03-09 Last updated: 2017-09-01Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full textScopushttp://aip.scitation.org/doi/abs/10.1063/1.4972686

Authority records BETA

Lundengård, KarlOgutu, CarolyneSilvestrov, SergeiNi, Ying

Search in DiVA

By author/editor
Lundengård, KarlOgutu, CarolyneSilvestrov, SergeiNi, Ying
By organisation
Educational Sciences and Mathematics
MathematicsProbability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar

doi
isbn
urn-nbn

Altmetric score

doi
isbn
urn-nbn
Total: 22 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf