Multilevel Monte Carlo methods for applications in finance

DOI10.1142/9789814436434_0001zbMATH Open1277.91193arXiv1212.1377OpenAlexW1543358791MaRDI QIDQ2849669FDOQ2849669

Authors: Mike Giles, Lukasz Szpruch 

Publication date: 24 September 2013

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

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.

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

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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)

Cited In (16)

• Title not available (Why is that?)
• Multilevel Monte Carlo method for path-dependent barrier interest rate derivatives
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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
• Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices
• An introduction to multilevel Monte Carlo for option valuation

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