Fast orthogonal transforms and generation of Brownian paths

DOI10.1016/J.JCO.2011.11.003zbMATH Open1256.65009DBLPjournals/jc/Leobacher12OpenAlexW2066027744WikidataQ41642851 ScholiaQ41642851MaRDI QIDQ413477FDOQ413477

Gunther Leobacher

Publication date: 7 May 2012

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

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

zbMATH Keywords

option pricingcovariance matrixBrownian bridgeHilbert transformWalsh-Hadamard transformwavelet transforms[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=discrete+L%EF%BF%BD%EF%BF%BDvy+processes&go=Go discrete L��vy processes]Hartley transformlocal random interpolation

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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• Derivative securities and difference methods.
• The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
• Fast Principal Components Analysis Method for Finance Problems With Unequal Time Steps
• Fast algorithms for the discrete W transform and for the discrete Fourier transform
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• On the tractability of the Brownian bridge algorithm
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Cited In (9)

• Brownian Path Generation and Polynomial Chaos
• Spatial low-discrepancy sequences, spherical cone discrepancy, and applications in financial modeling
• An iterative algorithm to determine the number of time steps in path generation methods
• Fast algorithms for Brownian matrices
• Integration in Hermite spaces of analytic functions
• High-dimensional integration on \(\mathbb{R}^d\), weighted Hermite spaces, and orthogonal transforms
• Efficient Monte Carlo simulation for integral functionals of Brownian motion
• Fast QMC Matrix-Vector Multiplication
• Forward or backward simulation? A comparative study

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