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Search Results for Collection: Centre for Financial Markets Working Papers
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(University College Dublin. School of Business. Centre for Financial Markets, 2010-06)We present an acceleration technique, effective for explicit finite difference schemes describing diffusive processes with nearly symmetric operators, called Super-Time- Stepping (STS). The technique is applied to the ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2010-06-10)A scaled self-decomposable stochastic process put forward by Carr, Geman, Madan and Yor (2007) is used to model long term equity returns and options prices. This parsimonious model is compared to a number of other ...
Now showing items 1-2 of 2