Fast orthogonal transforms and generation of Brownian paths (Q413477): Difference between revisions

Methods of discrete Brownian paths simulations are presented. They are based on orthogonal decomposition of the covariance matrix (using fast discrete Hartley, Hilbert, Walsh-Hadamard and wavelet transforms) and local random interpolation of gaps by the Brownian bridge paths. Discrete Lévy processes simulation is also discussed. Applications to different options pricing are presented.

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Mathematics Subject Classification ID

65C60

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Hartley transform

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Hilbert transform

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Walsh-Hadamard transform

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Brownian bridge

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option pricing

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covariance matrix

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wavelet transforms

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local random interpolation

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discrete Lévy processes

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Wikidata QID

Q41642851

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reviewed by

Rostislav E. Maiboroda

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jco.2011.11.003

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Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model

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Arbitrage Theory in Continuous Time

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Q3229904

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Q3160669

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On the Walsh Functions

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Unified Matrix Treatment of the Fast Walsh-Hadamard Transform

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Q4433608

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Fast Principal Components Analysis Method for Finance Problems With Unequal Time Steps

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On the tractability of the Brownian bridge algorithm

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Stratified sampling and quasi-Monte Carlo simulation of Lévy processes

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Smoothness and dimension reduction in quasi-Monte Carlo methods

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Q3112479

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The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration

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Q4435813

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Complexity and effective dimension of discrete Lévy areas

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Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction

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Fast algorithms for the discrete W transform and for the discrete Fourier transform

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Q4320129

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Q3150942

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Derivative securities and difference methods.

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Sitelinks

Mathematics(1 entry)

mardi Publication:413477

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+Rostislav E. Maiboroda
@@ Property / reviewed by: Rostislav E. Maiboroda / rank @@
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@@ Property / cites work @@
+Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model
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@@ Property / cites work @@
+Arbitrage Theory in Continuous Time
@@ Property / cites work: Arbitrage Theory in Continuous Time / rank @@
+Normal rank
@@ Property / cites work @@
+Q3229904
@@ Property / cites work: Q3229904 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3160669
@@ Property / cites work: Q3160669 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Walsh Functions
@@ Property / cites work: On the Walsh Functions / rank @@
+Normal rank
@@ Property / cites work @@
+Unified Matrix Treatment of the Fast Walsh-Hadamard Transform
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+Fast Principal Components Analysis Method for Finance Problems With Unequal Time Steps
+Normal rank
@@ Property / cites work @@
+On the tractability of the Brownian bridge algorithm
+Normal rank
@@ Property / cites work @@
+Stratified sampling and quasi-Monte Carlo simulation of Lévy processes
+Normal rank
@@ Property / cites work @@
+Smoothness and dimension reduction in quasi-Monte Carlo methods
+Normal rank
@@ Property / cites work @@
+Q3112479
@@ Property / cites work: Q3112479 / rank @@
+Normal rank
@@ Property / cites work @@
+The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+Complexity and effective dimension of discrete Lévy areas
+Normal rank
@@ Property / cites work @@
+Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction
+Normal rank
@@ Property / cites work @@
+Fast algorithms for the discrete W transform and for the discrete Fourier transform
+Normal rank
@@ Property / cites work @@
+Q4320129
@@ Property / cites work: Q4320129 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3150942
@@ Property / cites work: Q3150942 / rank @@
+Normal rank
@@ Property / cites work @@
+Derivative securities and difference methods.
@@ Property / cites work: Derivative securities and difference methods. / rank @@
+Normal rank