Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications

DOI10.1111/1467-9965.00013MaRDI QIDQ4409045zbMATH OpenOpenAlexFDO

Authors Denis Talay, Ziyu Zheng

Publication date 2003

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9965.00013

zbMATH Keywords

Malliavin calculusmathematical financeMonte Carlo methodsstochastic differential equation

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• Approximation of quantiles of components of diffusion processes.
• Coherent measures of risk
• Expansion of the global error for numerical schemes solving stochastic differential equations
• High order Itô-Taylor approximations to heat kernels
• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• The Euler scheme for Lévy driven stochastic differential equations
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
• Worst case model risk management

Cited in

(9)

• Numerical error for SDE: Asymptotic expansion and hyperdistributions
• Product Markovian quantization of a diffusion process with applications to finance
• Effectiveness of CPPI strategies under discrete-time trading
• Approximation of quantiles of components of diffusion processes.
• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
• ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS
• Estimates of Dynamic VaR and Mean Loss Associated to Diffusion Processes
• scientific article; zbMATH DE number 2005079 (Why is no real title available?)
• Recursive marginal quantization of the Euler scheme of a diffusion process

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