New methods of simulating Lévy processes
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- Lévy process simulation by stochastic step functions
- A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
- Simulation of Lévy-driven models and their applications in finance
- Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
- Stratified sampling and quasi-Monte Carlo simulation of Lévy processes
Cites work
- Approximations of small jumps of Lévy processes with a view towards simulation
- Financial Modelling with Jump Processes
- scientific article; zbMATH DE number 1639858 (Why is no real title available?)
- scientific article; zbMATH DE number 1639863 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Importance sampling and statistical Romberg method for Lévy processes
- Introduction to econophysics. Correlations and complexity in finance.
- Monte Carlo strategies in scientific computing
- Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes
- Optimal importance sampling parameter search for Lévy processes via stochastic approximation
- Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
Cited in
(18)- Approximation and simulation of infinite-dimensional Lévy processes
- Simulation of Student-Lévy processes using series representations
- Point process simulation of generalised inverse Gaussian processes and estimation of the Jaeger integral
- Rejection sampling for tempered Lévy processes
- Efficient almost-exact Lévy area sampling
- Simulation of stochastic integrals with respect to Lévy processes of type G.
- Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
- A note on recovering the Brownian motion component from a Lévy process
- Lévy process simulation by stochastic step functions
- Stratified sampling and quasi-Monte Carlo simulation of Lévy processes
- Simulating Lévy processes from their characteristic functions and financial applications
- Simulation of compound Poisson process based on stochastic harmonic function
- Geometrically convergent simulation of the extrema of Lévy processes
- Efficient simulation of Lévy-driven point processes
- Point process simulation of generalised hyperbolic Lévy processes
- A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
- Exact simulation of a truncated Lévy subordinator
- Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
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