Taylor Expansions for Non-Diieretiable Functions

2017 ◽  
Author(s):  
Moawia Alghalith
Keyword(s):  
Taylor Expansions

Taylor expansions and applications

2015 ◽  
pp. 225-257
Author(s):  
Claudio Canuto ◽  
Anita Tabacco
Keyword(s):  
Taylor Expansions

scholarly journals Rigorous Estimation of Floating-Point Round-Off Errors with Symbolic Taylor Expansions

2019 ◽  
Vol 41 (1) ◽  
pp. 1-39 ◽  
Author(s):  
Alexey Solovyev ◽  
Marek S. Baranowski ◽  
Ian Briggs ◽  
Charles Jacobsen ◽  
Zvonimir Rakamarić ◽  
...  
Keyword(s):  
Floating Point ◽  
Taylor Expansions

scholarly journals Pricing and risk management under multivariate switching models

2021 ◽  
Author(s):  
Atousa Assadihaghi
Keyword(s):  
Monte Carlo ◽  
Continuous Time ◽  
Value At Risk ◽  
Markov Models ◽  
Risk Measures ◽  
Occupation Times ◽  
Taylor Expansions ◽  
Switching Regime ◽  
Switching Models ◽  
Analytic Expressions

The objective of this thesis is to provide a simulations-free approximation to the price of multivariate derivatives and for the calculation of risk measures like Value at Risk (VaR). The first chapters are dedicated to the pricing of multivariate derivatives. In particular we focus on multivariate derivatives under switching regime Markov models. We consider the cases of two and three states of the switching regime Markov model, and derive analytic expressions for the first and second order moments of the occupation times of the continuous-time Markov process. Then we use these expressions to provide approximations for the derivative prices based on Taylor expansions. We compare our closed form approximations with Monte Carlo simulations. In the last chapter we also provide a simulations-free approximation for the VaR under a switching regime model with two states. We compare these VaR estimations with those obtained using Monte Carlo.

scholarly journals New bounds for generalized Taylor expansions

2021 ◽  
pp. 993-999
Author(s):  
J. Barić ◽  
Ljiljanka Kvesić ◽  
Josip Pečarić ◽  
M. Ribičić Penava
Keyword(s):  
Taylor Expansions
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