Semi-closed form cubature and applications to financial diffusion models

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

zbMATH Keywords

stochastic volatility; stochastic differential equations; Monte Carlo methods

Mathematics Subject Classification ID

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