Fast orthogonal transforms and generation of Brownian paths

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

Authors: 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

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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)

Cites Work

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• Fast principal components analysis method for finance problems with unequal time steps
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Cited In (10)

• Fast QMC matrix-vector multiplication
• 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
• Brownian path generation and polynomial chaos
• Integration in Hermite spaces of analytic functions
• Brownian bridge and other path-dependent Gaussian processes vectorial simulation
• High-dimensional integration on \(\mathbb{R}^d\), weighted Hermite spaces, and orthogonal transforms
• Efficient Monte Carlo simulation for integral functionals of Brownian motion
• Forward or backward simulation? A comparative study

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