Optimal Quantization for Finance: From Random Vectors to Stochastic Processes
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Gaussian processMonte Carlo methodnumerical integrationoptimal quadratic quantizationoption pricingstochastic volatility
Approximations to statistical distributions (nonasymptotic) (62E17) Numerical integration (65D30) Numerical quadrature and cubature formulas (65D32) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)
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(22)- A versatile technique for the optimal approximation of random processes by functional quantization
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- The optimal discretization of probability density functions
- How complex is a random picture?
- Quantization methods for stochastic differential equations
- Product Markovian quantization of a diffusion process with applications to finance
- On conditional cuts for stochastic dual dynamic programming
- New weak error bounds and expansions for optimal quantization
- Data-driven stochastic inversion via functional quantization
- A local refinement strategy for constructive quantization of scalar SDEs
- Pointwise convergence of the Lloyd I algorithm in higher dimension
- Optimal Delaunay and Voronoi quantization schemes for pricing American style options
- How to speed up the quantization tree algorithm with an application to swing options
- An empirical analysis of scenario generation methods for stochastic optimization
- Functional quantization for numerics with an application to option pricing
- Derandomization of the Euler scheme for scalar stochastic differential equations
- The local quantization behavior of absolutely continuous probabilities
- Optimal quadratic quantization for numerics: the Gaussian case
- Conic quantization: stochastic volatility and market implied liquidity
- Quantization goes polynomial
- Introduction to vector quantization and its applications for numerics
- Improved algorithm for the optimal quantization of single- and multivariate random functions
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