We study several lognormal approximations for Libor market models, where special attention is paid to their simulation by direct methods and lognormal random fields. In contrast to conventional ...

This paper presents a strong predictor-corrector method for the numerical solution of stochastic delay differential equations (SDDEs) of Itô-type. The method is proved to be mean-square convergent of ...

In this paper we consider a meshfree radial basis function approach for the valuation of pricing options with non-smooth payoffs. By taking advantage of parallel architecture, a strongly stable and ...