Cubature on Wiener Space for the Heath--Jarrow--Morton framework

Cubature on Wiener Space for the Heath--Jarrow--Morton framework

This thesis established the cubature method developed by Gyurkó & Lyons (2010) and Lyons & Victor (2004) for the Heath–Jarrow–Morton (HJM) model. The HJM model was first proposed by Heath, Jarrow, and Morton (1992) to model the evolution of interest rates through the dynamics of the...

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Bibliographic Details
Main Author: Mwangota, Lutufyo
Format: Others
Language:English
Published: Mälardalens högskola, Akademin för utbildning, kultur och kommunikation 2019
Subjects:
Heath–Jarrow–Morton model
stochastic Taylor expansion
Cubature formulae
Brownian signature
forward rate.
Mathematics
Matematik
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-42804

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-42804

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