Fast orthogonal transforms and generation of Brownian paths

DOI10.1016/J.JCO.2011.11.003zbMath1256.65009DBLPjournals/jc/Leobacher12OpenAlexW2066027744WikidataQ41642851 ScholiaQ41642851MaRDI QIDQ413477

Gunther Leobacher

Publication date: 7 May 2012

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jco.2011.11.003

zbMATH Keywords

Hartley transformoption pricingHilbert transformBrownian bridgecovariance matrixwavelet transformsWalsh-Hadamard transformdiscrete Lévy processeslocal random interpolation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Brownian motion (60J65) Numerical methods for discrete and fast Fourier transforms (65T50) Stochastic particle methods (65C35)

Related Items (8)

Efficient Monte Carlo simulation for integral functionals of Brownian motion ⋮ Forward or backward simulation? A comparative study ⋮ High-dimensional integration on \(\mathbb{R}^d\), weighted Hermite spaces, and orthogonal transforms ⋮ Brownian Path Generation and Polynomial Chaos ⋮ An iterative algorithm to determine the number of time steps in path generation methods ⋮ Fast QMC Matrix-Vector Multiplication ⋮ Spatial low-discrepancy sequences, spherical cone discrepancy, and applications in financial modeling ⋮ Integration in Hermite spaces of analytic functions

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