Fast orthogonal transforms and generation of Brownian paths

DOI10.1016/J.JCO.2011.11.003MaRDI QIDQ413477zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Gunther Leobacher

Publication date 7 May 2012

Published in Journal of Complexity (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.jco.2011.11.003

zbMATH Keywords

option pricingcovariance matrixBrownian bridgeHilbert transformWalsh-Hadamard transformwavelet transformsHartley transformlocal random interpolationdiscrete Lévy processes

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Brownian motion (60J65) Stochastic particle methods (65C35) Numerical methods for discrete and fast Fourier transforms (65T50)

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Cited in

(10)

• Fast algorithms for Brownian matrices
• Spatial low-discrepancy sequences, spherical cone discrepancy, and applications in financial modeling
• Efficient Monte Carlo simulation for integral functionals of Brownian motion
• Fast QMC matrix-vector multiplication
• Integration in Hermite spaces of analytic functions
• An iterative algorithm to determine the number of time steps in path generation methods
• Brownian path generation and polynomial chaos
• Forward or backward simulation? A comparative study
• High-dimensional integration on \(\mathbb{R}^d\), weighted Hermite spaces, and orthogonal transforms
• Brownian bridge and other path-dependent Gaussian processes vectorial simulation

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