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Browsing Natural and Agricultural Sciences by Postgraduate "Bambe Moutsinga, Claude Rodrigue"

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Robust time spectral methods for solving fractional differential equations in finance

Bambe Moutsinga, Claude Rodrigue (University of Pretoria, 2021)

In this work, we construct numerical methods to solve a wide range of problems in finance. This includes the valuation under affine jump diffusion processes, chaotic and hyperchaotic systems, and pricing fractional ...
Transform analysis of affine jump diffusion processes with applications to asset pricing

Bambe Moutsinga, Claude Rodrigue (University of Pretoria, 2008-08-19)

This work presents a class of models in asset pricing, whose underlying has dynamics of Affine jump diffusion type. We first present L´evy processes with their properties. We then introduce Affine jump diffusion processes ...

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