Browsing 01 Mathematical Sciences by Author "Nikitopoulos Sklibosios Christina"

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Browsing 01 Mathematical Sciences by Author "Nikitopoulos Sklibosios Christina"

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  • Alternative defaultable term structure models 
    Schlogl Erik; Bruti Liberati Nicola; Platen Eckhard; Nikitopoulos Sklibosios Christina (Springer, 2009)
    The objective of this paper is to consider defaultable term structure models in a general setting beyond standard risk-neutral models. Using as numeraire the growth optimal portfolio, defaultable interest rate derivatives ...
  • A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps 
    Nikitopoulos Sklibosios Christina; Schlogl Erik; Chiarella Carl (Routledge, 2007)
    This paper examines the pricing of interest rate derivatives when the interest rate dynamics experience infrequent jump shocks modelled as a Poisson process. The pricing framework adapted was developed by Chiarella and ...
  • First order strong approximations of jump diffusions 
    Nikitopoulos Sklibosios Christina; Bruti Liberati Nicola; Platen Eckhard (Trans Tech Publications Ltd, 2007)
    This paper presents new results on strong numerical schemes, which are appropriate for scenario analysis, filtering and hedge simulation, for stochastic differential equations (SDEs) of jump-diffusion type. It provides ...