Rough paths based numerical algorithms in computational finance
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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) Numerical methods (including Monte Carlo methods) (91G60)
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(11)- High order weak approximation for irregular functionals of time-inhomogeneous SDEs
- A weak approximation method for irregular functionals of hypoelliptic diffusions
- A higher order weak approximation of McKean-Vlasov type SDEs
- From rough path estimates to multilevel Monte Carlo
- Discrete Algorithms for Multivariate Financial Calculus
- An arbitrary high order weak approximation of SDE and Malliavin Monte Carlo: analysis of probability distribution functions
- Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs
- Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures
- Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing
- A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus
- Signature-based validation of real-world economic scenarios
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