Fast orthogonal transforms and generation of Brownian paths

DOI10.1016/J.JCO.2011.11.003MaRDI QIDQ413477zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Gunther Leobacher

Publication date 7 May 2012

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

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

zbMATH Keywords

Brownian bridgecovariance matrixdiscrete Lévy processesHartley transformHilbert transformlocal random interpolationoption pricingWalsh-Hadamard transformwavelet transforms

Mathematics Subject Classification ID

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

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.NEWLINENEWLINEDiscrete Lévy processes simulation is also discussed. Applications to different options pricing are presented.

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Cited in

(10)

• High-dimensional integration on \(\mathbb{R}^d\), weighted Hermite spaces, and orthogonal transforms
• Spatial low-discrepancy sequences, spherical cone discrepancy, and applications in financial modeling
• Integration in Hermite spaces of analytic functions
• Efficient Monte Carlo simulation for integral functionals of Brownian motion
• An iterative algorithm to determine the number of time steps in path generation methods
• Fast algorithms for Brownian matrices
• Brownian path generation and polynomial chaos
• Forward or backward simulation? A comparative study
• Fast QMC matrix-vector multiplication
• Brownian bridge and other path-dependent Gaussian processes vectorial simulation

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