Pages that link to "Item:Q3502205"
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The following pages link to Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing (Q3502205):
Displaying 18 items.
- 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)
- Pricing double volatility barriers option under stochastic volatility (Q5086643) (← links)
- The Girsanov Theorem Without (So Much) Stochastic Analysis (Q5126594) (← links)
- Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing (Q5241903) (← links)
- VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES (Q5411988) (← links)
- On The Error Estimate for Cubature on Wiener Space (Q5419406) (← links)
- Efficient Second-order Weak Scheme for Stochastic Volatility Models (Q5746534) (← links)
- Splitting integrators for stochastic Lie–Poisson systems (Q6045328) (← links)
- Cubature Method for Stochastic Volterra Integral Equations (Q6070668) (← links)
- Total variation bound for Milstein scheme without iterated integrals (Q6073726) (← links)
- An application of the multiplicative Sewing Lemma to the high order weak approximation of stochastic differential equations (Q6080380) (← links)
- Strong convergence and stationary distribution of an explicit scheme for the Wright-Fisher model (Q6098976) (← links)
- Approximation of Stochastic Volterra Equations with kernels of completely monotone type (Q6140843) (← links)
- Random splitting of fluid models: unique ergodicity and convergence (Q6160262) (← links)
- Impact of rough stochastic volatility models on long-term life insurance pricing (Q6173889) (← links)
- High Order Splitting Methods for SDEs Satisfying a Commutativity Condition (Q6190295) (← links)
- An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence (Q6649258) (← links)
