scientific article; zbMATH DE number 2059614
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Publication:4457878
comparison of methodsdiffusion processfinanceMonte Carlo samplingnumerical examplequasi-Monte Carlo methodstochastic differential equationtree based branching algorithm
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods (including Monte Carlo methods) (91G60)
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- scientific article; zbMATH DE number 846975
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(12)- Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations
- Monte Carlo construction of cubature on Wiener space
- Runge-Kutta schemes for backward stochastic differential equations
- Cubature methods and applications
- Application of the kusuoka approximation with a tree-based branching algorithm to the pricing of interest-rate derivatives under the hjm model
- Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
- 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
- On the error estimate for cubature on Wiener space
- Finite sampling interval effects in Kramers-Moyal analysis
- A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
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