Gaussian K-scheme: justification for KLNV method

DOI10.1007/978-4-431-54324-4_3MaRDI QIDQ2957760zbMATH OpenOpenAlexFDO

Authors Shigeo Kusuoka

Publication date 30 January 2017

Published in Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-4-431-54324-4_3

zbMATH Keywords

computational financeLie algebraMalliavin calculusoption pricing

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
• Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus
• Cubature on Wiener space
• scientific article; zbMATH DE number 1998237 (Why is no real title available?)
• scientific article; zbMATH DE number 1754702 (Why is no real title available?)
• scientific article; zbMATH DE number 2109358 (Why is no real title available?)
• The partial malliavin calculus and its application to non-linear filtering
• Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing

Cited in

(10)

• Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process
• Recent advances in various fields of numerical probability
• Algebraic structure of vector fields in financial diffusion models and its applications
• Construction of a third-order K-scheme and its application to financial models
• A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
• Efficient simulation methods for the quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme
• Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes
• Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing
• A survey of rough volatility
• Deep learning in finance: a review of deep hedging and deep calibration techniques

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