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Pricing Financial Derivatives in the Hull-White Model Using Cubature Methods on Wiener Space
Mälardalen University, Västerås, Sweden.ORCID iD: 0000-0001-9303-1196
Mälardalen University, Västerås, Sweden.ORCID iD: 0000-0002-0139-0747
Mälardalen University, Västerås, Sweden.ORCID iD: 0000-0002-0835-7536
2022 (English)In: Data Analysis and Related Applications 1: Computational, Algorithmic and Applied Economic Data Analysis, John Wiley & Sons, 2022, p. 333-357Chapter in book (Other academic)
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
John Wiley & Sons, 2022. p. 333-357
Series
Innovation, Entrepreneurship and Management Series. Big Data, Artificial Intelligence and Data Analysis Set ; 9
Keywords [en]
Stochastic partial differenHull-White model, cubature method, Stratonovich integral, Wiener space, fixed-income market
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:liu:diva-203005DOI: 10.1002/9781394165513.ch25Scopus ID: 2-s2.0-85152663552ISBN: 9781786307712 (print)ISBN: 9781394165513 (electronic)OAI: oai:DiVA.org:liu-203005DiVA, id: diva2:1853954
Available from: 2024-04-24 Created: 2024-04-24 Last updated: 2024-10-28Bibliographically approved

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Nohrouzian, Hossein

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Nohrouzian, HosseinMalyarenko, AnatoliyNi, Ying
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CiteExportLink to record
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Citation style
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  • nn-NB
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  • Other locale
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Output format
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