scientific article; zbMATH DE number 2059614

zbMATH Open1046.65007MaRDI QIDQ4457878FDOQ4457878

Authors: Syoiti Ninomiya 

Publication date: 17 March 2004

Title of this publication is not available (Why is that?)

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zbMATH Keywords

Monte Carlo samplingfinancestochastic differential equationdiffusion processnumerical examplecomparison of methodsquasi-Monte Carlo methodtree based branching algorithm

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cited In (12)

• Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
• On the error estimate for cubature on Wiener space
• Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations
• High order recombination and an application to cubature on Wiener space
• Construction of a third-order K-scheme and its application to financial models
• Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing
• Monte Carlo construction of cubature on Wiener space
• Cubature methods and applications
• Runge-Kutta schemes for backward stochastic differential equations
• A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
• Application of the kusuoka approximation with a tree-based branching algorithm to the pricing of interest-rate derivatives under the hjm model
• Finite sampling interval effects in Kramers-Moyal analysis

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