Fast orthogonal transforms and generation of Brownian paths (Q413477): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
| 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 / reviewed by | |||
| Property / reviewed by: Q591246 / 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 | |||
Revision as of 19:05, 29 June 2023
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
