Pages that link to "Item:Q964684"

The following pages link to A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method (Q964684):

Displaying 26 items.

• Pricing exotic options and American options: a multidimensional asymptotic expansion approach (Q356757) (← links)
• Cubature on Wiener space: pathwise convergence (Q358624) (← links)
• A new extrapolation method for weak approximation schemes with applications (Q433903) (← links)
• Cubature methods for stochastic (partial) differential equations in weighted spaces (Q483627) (← links)
• Variance reduction for discretised diffusions via regression (Q1674395) (← links)
• Exact and high-order discretization schemes for Wishart processes and their affine extensions (Q1950261) (← links)
• An approximation scheme for diffusion processes based on an antisymmetric calculus over Wiener space (Q2013298) (← links)
• Monte Carlo construction of cubature on Wiener space (Q2135546) (← links)
• Higher-order interpolated lattice schemes for multidimensional option pricing problems (Q2252708) (← links)
• An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs (Q2389602) (← links)
• CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL (Q2841330) (← links)
• Cubature Methods and Applications (Q2847839) (← links)
• Fast Ninomiya–Victoir calibration of the double-mean-reverting model (Q2871434) (← links)
• Gaussian K-scheme: justification for KLNV method (Q2957760) (← links)
• On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter (Q3451723) (← links)
• Algebraic structure of vector fields in financial diffusion models and its applications (Q4555127) (← links)
• Ninomiya-Victoir scheme : Multilevel Monte Carlo estimators and discretization of the involved Ordinary Differential Equations (Q4606416) (← links)
• Construction of a Third-Order K-Scheme and Its Application to Financial Models (Q4607056) (← links)
• Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme (Q5014247) (← links)
• Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs (Q5029930) (← links)
• Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing (Q5241903) (← links)
• Semi-closed form cubature and applications to financial diffusion models (Q5397417) (← links)
• VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES (Q5411988) (← links)
• Efficient Second-order Weak Scheme for Stochastic Volatility Models (Q5746534) (← links)
• Random splitting of fluid models: unique ergodicity and convergence (Q6160262) (← links)
• High Order Splitting Methods for SDEs Satisfying a Commutativity Condition (Q6190295) (← links)