Browsing General by Author "Bruti Liberati, Nicola"

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Browsing General by Author "Bruti Liberati, Nicola"

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  • Bruti Liberati, Nicola; Nikitopoulos Sklibosios, Christina; Platen, Eckhard; Schlogl, Erik (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 ...
  • Bruti Liberati, Nicola; Martini, Fillipo; Piccardi, Massimo; Platen, Eckhard (Elsevier, 2008)
    Monte Carlo simulation of weak approximation of stochastic differential equations constitutes an intensive computational task. In applications such as finance, for instance, to achieve "real time" execution, as often ...
  • Bruti Liberati, Nicola; Platen, Eckhard (World Scientific, 2008)
    This paper introduces a new class of numerical schemes for the pathwise approximation of solutions of stochastic differential equations (SDEs). The proposed family of strong predictor-corrector Euler methods are designed ...