Pages that link to "Item:Q3502205"

The following pages link to Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing (Q3502205):

Displaying 50 items.

• Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators (Q308405) (← links)
• Pricing exotic options and American options: a multidimensional asymptotic expansion approach (Q356757) (← links)
• Cubature on Wiener space: pathwise convergence (Q358624) (← links)
• Weak approximation of CIR equation by discrete random variables (Q392777) (← links)
• A new extrapolation method for weak approximation schemes with applications (Q433903) (← links)
• A boundary preserving numerical algorithm for the Wright-Fisher model with mutation (Q438725) (← links)
• High order recombination and an application to cubature on Wiener space (Q453236) (← links)
• Cubature methods for stochastic (partial) differential equations in weighted spaces (Q483627) (← links)
• Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations (Q512857) (← links)
• Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes (Q515534) (← links)
• Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction (Q670737) (← links)
• A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method (Q964684) (← links)
• Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients (Q1016225) (← links)
• Variance reduction for discretised diffusions via regression (Q1674395) (← links)
• Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process (Q1713467) (← links)
• Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations (Q1762334) (← links)
• Exact and high-order discretization schemes for Wishart processes and their affine extensions (Q1950261) (← links)
• An approximation scheme for diffusion processes based on an antisymmetric calculus over Wiener space (Q2013298) (← links)
• Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes (Q2042872) (← links)
• Interest-rate products pricing problems with uncertain jump processes (Q2045339) (← links)
• A generic construction for high order approximation schemes of semigroups using random grids (Q2049919) (← links)
• A weak approximation method for irregular functionals of hypoelliptic diffusions (Q2057274) (← links)
• Monte Carlo construction of cubature on Wiener space (Q2135546) (← links)
• Weak approximation of SDEs for tempered distributions and applications (Q2165018) (← links)
• Weak approximation of Heston model by discrete random variables (Q2228636) (← links)
• High order splitting schemes with complex timesteps and their application in mathematical finance (Q2252368) (← links)
• Higher-order interpolated lattice schemes for multidimensional option pricing problems (Q2252708) (← links)
• On weak approximations of CIR equation with high volatility (Q2270458) (← links)
• Verhulst versus CIR (Q2355529) (← links)
• An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs (Q2389602) (← links)
• Runge-Kutta schemes for backward stochastic differential equations (Q2448693) (← links)
• An asymptotic radius of convergence for the Loewner equation and simulation of \(\mathrm{SLE}_{\kappa}\) traces via splitting (Q2675347) (← links)
• Recent advances in various fields of numerical probability (Q2786538) (← links)
• CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL (Q2841330) (← links)
• Cubature Methods and Applications (Q2847839) (← links)
• Fast Ninomiya–Victoir calibration of the double-mean-reverting model (Q2871434) (← links)
• Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets (Q2922151) (← links)
• Gaussian K-scheme: justification for KLNV method (Q2957760) (← links)
• Optimal simulation schemes for Lévy driven stochastic differential equations (Q3189423) (← links)
• On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter (Q3451723) (← links)
• High order discretization schemes for the CIR process: Application to affine term structure and Heston models (Q3584774) (← links)
• Algebraic structure of vector fields in financial diffusion models and its applications (Q4555127) (← links)
• Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatility Model (Q4560332) (← links)
• Ninomiya-Victoir scheme : Multilevel Monte Carlo estimators and discretization of the involved Ordinary Differential Equations (Q4606416) (← links)
• Construction of a Third-Order K-Scheme and Its Application to Financial Models (Q4607056) (← links)
• An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions (Q4629328) (← links)
• Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets (Q4635245) (← links)
• A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing (Q4957242) (← links)
• Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme (Q5014247) (← links)
• Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs (Q5029930) (← links)