scientific article; zbMATH DE number 1079018

MaRDI QIDQ4361192zbMATH OpenFDO

Authors Eric Fournié, Jérôme Lebuchoux, Nizar Touzi

Publication date 9 December 1997

zbMATH Keywords

asymptotic expansioncomputation of European contingent claim pricesMonte Carlo simulationssampling variance reduction proceduresecond-order differential operators

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Inference from stochastic processes and prediction (62M20) Financial applications of other theories (91G80)

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• Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
• Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions
• Variance reduction for Monte Carlo simulation in a stochastic volatility environment
• Importance sampling for McKean-Vlasov SDEs
• A smooth estimator for MC/QMC methods in finance

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