Multilevel Monte Carlo methods for applications in finance

DOI10.1142/9789814436434_0001MaRDI QIDQ2849669zbMATH OpenOpenAlexFDO

Authors Mike Giles, Lukasz Szpruch

Publication date 24 September 2013

Published in Recent Developments in Computational Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1212.1377

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

Abstract: Since Giles introduced the multilevel Monte Carlo path simulation method [18], there has been rapid development of the technique for a variety of applications in computational finance. This paper surveys the progress so far, highlights the key features in achieving a high rate of multilevel variance convergence, and suggests directions for future research.

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Cited in

(16)

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• Multilevel Monte Carlo method for path-dependent barrier interest rate derivatives
• Multilevel Monte Carlo using approximate distributions of the CIR process
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• An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
• Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation
• Multilevel quasi-Monte Carlo path simulation
• Multilevel Monte Carlo for Asian options and limit theorems
• Central limit theorem for the multilevel Monte Carlo Euler method
• A continuation multilevel Monte Carlo algorithm
• Randomized multilevel quasi-Monte Carlo path simulation
• Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling
• Applications to risk theory of a Monte Carlo multiple integration method.
• Central limit theorem for the antithetic multilevel Monte Carlo method
• An introduction to multilevel Monte Carlo for option valuation
• Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices

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