| Title | Stochastinių diferencialinių lygčių diskrečios ir pusiau diskrečios aproksimacijos ir jų taikymas palūkanų normų modeliams / |
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| Translation of Title | Discrete and semidiscrete approximations of stochastic differential equations and applications to interest rate models. |
| Authors | Periokaitė, Aurelija |
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| Pages | 41 |
| Abstract [eng] | In this paper, we analyze the semidiscrete Euler approximation of stochastic differential equations and propose a new semidiscrete Heun method and estimate the convergence rate of both methods. The efficiency and behavior of semidiscrete approximations are compared to discrete Euler, Heun, and Milstein schemes. Then we apply discrete and semidiscrete approximations to Vasicek and CIR equations and model the price of zero-coupon bond. |
| Dissertation Institution | Vilniaus universitetas. |
| Type | Master thesis |
| Language | Lithuanian |
| Publication date | 2016 |