Fast orthogonal transforms and generation of Brownian paths (Q413477): Difference between revisions
From MaRDI portal
Created a new Item |
ReferenceBot (talk | contribs) Changed an Item |
||
(9 intermediate revisions by 8 users not shown) | |||
Property / review text | |||
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. | |||
Property / review text: 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. / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 65C60 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 65C05 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62P05 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 65C35 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60J65 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 65T50 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91G60 / rank | |||
Normal rank | |||
Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6031132 / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
Hartley transform | |||
Property / zbMATH Keywords: Hartley transform / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
Hilbert transform | |||
Property / zbMATH Keywords: Hilbert transform / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
Walsh-Hadamard transform | |||
Property / zbMATH Keywords: Walsh-Hadamard transform / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
Brownian bridge | |||
Property / zbMATH Keywords: Brownian bridge / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
option pricing | |||
Property / zbMATH Keywords: option pricing / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
covariance matrix | |||
Property / zbMATH Keywords: covariance matrix / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
wavelet transforms | |||
Property / zbMATH Keywords: wavelet transforms / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
local random interpolation | |||
Property / zbMATH Keywords: local random interpolation / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
discrete Lévy processes | |||
Property / zbMATH Keywords: discrete Lévy processes / rank | |||
Normal rank | |||
Property / Wikidata QID | |||
Property / Wikidata QID: Q41642851 / rank | |||
Normal rank | |||
Property / reviewed by | |||
Property / reviewed by: Rostislav E. Maiboroda / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.jco.2011.11.003 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2066027744 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4369767 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Arbitrage Theory in Continuous Time / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3229904 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3160669 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: On the Walsh Functions / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Unified Matrix Treatment of the Fast Walsh-Hadamard Transform / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4433608 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Fast Principal Components Analysis Method for Finance Problems With Unequal Time Steps / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: On the tractability of the Brownian bridge algorithm / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Stratified sampling and quasi-Monte Carlo simulation of Lévy processes / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Smoothness and dimension reduction in quasi-Monte Carlo methods / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3112479 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4435813 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Complexity and effective dimension of discrete Lévy areas / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Fast algorithms for the discrete W transform and for the discrete Fourier transform / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4320129 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3150942 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Derivative securities and difference methods. / rank | |||
Normal rank | |||
links / mardi / name | links / mardi / name | ||
Latest revision as of 04:24, 5 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Fast orthogonal transforms and generation of Brownian paths |
scientific article |
Statements
Fast orthogonal transforms and generation of Brownian paths (English)
0 references
7 May 2012
0 references
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.
0 references
Hartley transform
0 references
Hilbert transform
0 references
Walsh-Hadamard transform
0 references
Brownian bridge
0 references
option pricing
0 references
covariance matrix
0 references
wavelet transforms
0 references
local random interpolation
0 references
discrete Lévy processes
0 references
0 references
0 references
0 references