Derivative-free weak approximation methods for stochastic differential equations in finance (Q2849677)

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Derivative-free weak approximation methods for stochastic differential equations in finance
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    Derivative-free weak approximation methods for stochastic differential equations in finance (English)
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    24 September 2013
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    SRK methods
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    second-order weak approximation
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    general multi-dimensional SDEs
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    drift-implicit SRK method
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    continuous SRK method
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    Monte Carlo simulations
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    approximation methods
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