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Strong Taylor approximation of stochastic differential equations and application to the Lévy LIBOR model
LIBOR models stochastic differential equations L´ evy pro-cesses perturbation Taylor approximation caps, swaptions
2010/11/1
In this article we develop a method for the strong approx-imation of stochastic differential equations (SDEs) driven by L´evy pro-cesses or general semimartingales. The main ingredients of our m...