scientific article; zbMATH DE number 2059614

zbMath1046.65007MaRDI QIDQ4457878

Syoiti Ninomiya

Publication date: 17 March 2004

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

stochastic differential equationnumerical examplecomparison of methodsdiffusion processMonte Carlo samplingfinancequasi-Monte Carlo methodtree based branching algorithm

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Monte Carlo construction of cubature on Wiener space ⋮ Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing ⋮ Construction of a Third-Order K-Scheme and Its Application to Financial Models ⋮ High order recombination and an application to cubature on Wiener space ⋮ Runge-Kutta schemes for backward stochastic differential equations ⋮ A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method ⋮ On The Error Estimate for Cubature on Wiener Space ⋮ Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations ⋮ Application of the Kusuoka approximation with a tree-based branching algorithm to the pricing of interest-rate derivatives under the HJM model ⋮ Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing ⋮ Cubature Methods and Applications

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