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Pricing Financial Derivatives in the Hull−White Model Using Cubature Methods on Wiener Space
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)ORCID iD: 0000-0001-9303-1196
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)ORCID iD: 0000-0002-0139-0747
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)ORCID iD: 0000-0002-0835-7536
2021 (English)In: PROCEEDINGS ASMDA 2021 International Conferenceand Demographics 2021 Workshop / [ed] Christos H. Skiadas, 2021, p. 513-534Conference paper, Published paper (Refereed)
Abstract [en]

In our previous studies, we developed novel cubature methods of degree 5 on the Wiener space in the sense that the cubature formula is exact for all multiple Stratonovich integrals up to dimension equal to the degree. In this paper, we apply the above methods to the modeling of fixed-income markets via affine models. Then, we apply the obtained results to price interest rate derivatives in the Hull−White one-factor model.

Place, publisher, year, edition, pages
2021. p. 513-534
Keywords [en]
Hull−White model, cubature method, Stratonovich integral, Wiener space, fixed-income market
National Category
Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-56337OAI: oai:DiVA.org:mdh-56337DiVA, id: diva2:1609007
Conference
The 19th Conference of the Applied Stochastic Models and Data Analysis
Available from: 2021-11-05 Created: 2021-11-05 Last updated: 2021-12-14Bibliographically approved

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http://www.asmda.es/images/!ASMDA2021_Conference_Proceedings_Book-compressed.pdf

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Nohrouzian, HosseinMalyarenko, AnatoliyNi, Ying

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