First Order Strong Approximations of Jump Diffusions

DOI10.1515/156939606778705191MaRDI QIDQ3431322zbMATH OpenOpenAlexFDO

Authors Nicola Bruti-Liberati, Christina Nikitopoulos Sklibosios, Eckhard Platen

Publication date 10 April 2007

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/156939606778705191

zbMATH Keywords

Merton modelnumerical examplesPoisson random measuresstochastic differential equationsWiener processes

Mathematics Subject Classification ID

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)

Recommendations

• Strong approximations of stochastic differential equations with jumps
• Approximation of jump diffusions in finance and economics
• Jump-adapted discretization schemes for Lévy-driven SDEs
• The Order 1.5 Approximation for Solutions of Jump-Diffusion Equations
• On weak predictor-corrector schemes for jump-diffusion processes in finance

Cites work

• A class of jump-diffusion bond pricing models within the HJM framework
• A jump-diffusion model for option pricing
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Bond Market Structure in the Presence of Marked Point Processes
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 3793150 (Why is no real title available?)
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• Numerical methods for nonlinear stochastic differential equations with jumps
• Option pricing when underlying stock returns are discontinuous
• Strong approximations of stochastic differential equations with jumps
• The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
• The surprise element: Jumps in interest rates.
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(16)

• High-order numerical schemes for jump-SDEs
• Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes
• Approximation of jump diffusions in finance and economics
• On the exact and -strong simulation of (jump) diffusions
• A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting
• On weak predictor-corrector schemes for jump-diffusion processes in finance
• Multilevel Monte Carlo implementation for SDEs driven by truncated stable processes
• The Order 1.5 Approximation for Solutions of Jump-Diffusion Equations
• Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps
• Optimal sampling design for global approximation of jump diffusion stochastic differential equations
• A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps
• On strong solutions for positive definite jump diffusions
• An optimization approach to weak approximation of stochastic differential equations with jumps
• First order strong approximations of scalar SDEs defined in a domain
• Strong approximations of stochastic differential equations with jumps
• Numerical solution of stochastic differential equations with jumps in finance

This page was built for publication: First Order Strong Approximations of Jump Diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3431322)