KAMM, KEVIN
KAMM, KEVIN
DIPARTIMENTO DI MATEMATICA
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Numerical solution of kinetic SPDEs via stochastic Magnus expansion
2023 Kamm K.; Pagliarani S.; Pascucci A.
How to handle negative interest rates in a CIR framework
2022 Di Francesco M.; Kamm K.
On the Deterministic-Shift Extended CIR Model in a Negative Interest Rate Framework
2022 Di Francesco M.; Kamm K.
On the Stochastic Magnus Expansion and Its Application to SPDEs
2021 Kamm, Kevin; Pagliarani, Stefano; Pascucci, Andrea
Titolo | Autore(i) | Anno | Periodico | Editore | Tipo | File |
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Numerical solution of kinetic SPDEs via stochastic Magnus expansion | Kamm K.; Pagliarani S.; Pascucci A. | 2023-01-01 | MATHEMATICS AND COMPUTERS IN SIMULATION | - | 1.01 Articolo in rivista | 1-s2.0-S037847542200516X-main.pdf |
How to handle negative interest rates in a CIR framework | Di Francesco M.; Kamm K. | 2022-01-01 | SEMA JOURNAL | - | 1.01 Articolo in rivista | 2106.03716.pdf; s40324-021-00267-w.pdf |
On the Deterministic-Shift Extended CIR Model in a Negative Interest Rate Framework | Di Francesco M.; Kamm K. | 2022-01-01 | INTERNATIONAL JOURNAL OF FINANCIAL STUDIES | - | 1.01 Articolo in rivista | ijfs-10-00038.pdf |
On the Stochastic Magnus Expansion and Its Application to SPDEs | Kamm, Kevin; Pagliarani, Stefano; Pascucci, Andrea | 2021-01-01 | JOURNAL OF SCIENTIFIC COMPUTING | - | 1.01 Articolo in rivista | Kamm2021_Article_OnTheStochasticMagnusExpansion.pdf |