Semi-closed form cubature and applications to financial diffusion models
From MaRDI portal
Publication:5397417
DOI10.1080/14697688.2012.752102zbMath1281.91180arXiv1009.4818MaRDI QIDQ5397417
Peter K. Friz, Christian Bayer, Ronnie Loeffen
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1009.4818
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
91B70: Stochastic models in economics
60H05: Stochastic integrals
65C30: Numerical solutions to stochastic differential and integral equations
65D30: Numerical integration
Related Items
Algebraic structure of vector fields in financial diffusion models and its applications, Dirichlet Forms and Finite Element Methods for the SABR Model, Construction of a Third-Order K-Scheme and Its Application to Financial Models, An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions, A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing, Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme, Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs, The principle of not feeling the boundary for the SABR model, Total variation bound for Milstein scheme without iterated integrals, A weak approximation with asymptotic expansion and multidimensional Malliavin weights, Cubature on Wiener space: pathwise convergence, Weak approximation of SDEs for tempered distributions and applications, On the signature and cubature of the fractional Brownian motion for \(H > \frac{1}{2}\), Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets
Cites Work
- Unnamed Item
- A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
- A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL
- Cubature on Wiener space
- Multidimensional Stochastic Processes as Rough Paths
- High order discretization schemes for the CIR process: Application to affine term structure and Heston models
- A comparison of biased simulation schemes for stochastic volatility models