On the efficiency of simplified weak Taylor schemes for Monte Carlo simulation in finance

Liberati, NB; Platen, E

On the efficiency of simplified weak Taylor schemes for Monte Carlo simulation in finance

Liberati, NB Platen, E

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Publication Type:: Conference Proceeding
Citation:: Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), 2004, 3039 pp. 771 - 778
Issue Date:: 2004-12-01

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Field	Value	Language
dc.contributor.author	Liberati, NB	en_US
dc.contributor.author	Platen, E https://orcid.org/0000-0003-4595-3123	en_US
dc.date.issued	2004-12-01	en_US
dc.identifier.citation	Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), 2004, 3039 pp. 771 - 778	en_US
dc.identifier.issn	0302-9743	en_US
dc.identifier.uri	http://hdl.handle.net/10453/1886
dc.description.abstract	The purpose of this paper is to study the efficiency of simplified weak schemes for stochastic differential equations. We present a numerical comparison between weak Taylor schemes and their simplified versions. In the simplified schemes discrete random variables, instead of Gaussian ones, are generated to approximate multiple stochastic integrals. We show that an implementation of simplified schemes based on random bits generators significantly increases the computational speed. The efficiency of the proposed schemes is demonstrated. © Springer-Verlag Berlin Heidelberg 2004.	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP0343913
dc.relation.ispartof	Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)	en_US
dc.subject.classification	Artificial Intelligence & Image Processing	en_US
dc.title	On the efficiency of simplified weak Taylor schemes for Monte Carlo simulation in finance	en_US
dc.type	Conference Proceeding
utslib.citation.volume	3039	en_US
utslib.for	0802 Computation Theory and Mathematics	en_US
dc.location.activity	Poland	en_US
dc.location.activity	Genova, ITALY
dc.location.activity	Krakow, POLAND
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.publication-status	Published	en_US
pubs.volume	3039	en_US

Abstract:

The purpose of this paper is to study the efficiency of simplified weak schemes for stochastic differential equations. We present a numerical comparison between weak Taylor schemes and their simplified versions. In the simplified schemes discrete random variables, instead of Gaussian ones, are generated to approximate multiple stochastic integrals. We show that an implementation of simplified schemes based on random bits generators significantly increases the computational speed. The efficiency of the proposed schemes is demonstrated. © Springer-Verlag Berlin Heidelberg 2004.

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http://hdl.handle.net/10453/1886