Fast orthogonal transforms and generation of Brownian paths (Q413477): Difference between revisions
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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 | |||
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Property / reviewed by: Q591246 / rank | |||
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Property / Mathematics Subject Classification ID: 65C60 / rank | |||
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Property / Mathematics Subject Classification ID: 65C05 / rank | |||
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Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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Property / Mathematics Subject Classification ID: 65C35 / rank | |||
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Property / Mathematics Subject Classification ID: 60J65 / rank | |||
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Property / Mathematics Subject Classification ID: 65T50 / rank | |||
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Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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Property / zbMATH DE Number: 6031132 / rank | |||
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Hartley transform | |||
Property / zbMATH Keywords: Hartley transform / rank | |||
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Hilbert transform | |||
Property / zbMATH Keywords: Hilbert transform / rank | |||
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Walsh-Hadamard transform | |||
Property / zbMATH Keywords: Walsh-Hadamard transform / rank | |||
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Brownian bridge | |||
Property / zbMATH Keywords: Brownian bridge / rank | |||
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option pricing | |||
Property / zbMATH Keywords: option pricing / rank | |||
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covariance matrix | |||
Property / zbMATH Keywords: covariance matrix / rank | |||
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wavelet transforms | |||
Property / zbMATH Keywords: wavelet transforms / rank | |||
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local random interpolation | |||
Property / zbMATH Keywords: local random interpolation / rank | |||
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discrete Lévy processes | |||
Property / zbMATH Keywords: discrete Lévy processes / rank | |||
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Revision as of 20:05, 29 June 2023
scientific article
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English | Fast orthogonal transforms and generation of Brownian paths |
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Fast orthogonal transforms and generation of Brownian paths (English)
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7 May 2012
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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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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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