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

DSpace/Manakin Repository

Search OPUS


Advanced Search

Browse

My Account

Show simple item record

dc.contributor.author Liberati, NB
dc.contributor.author Platen, E
dc.date.accessioned 2009-11-09T02:45:38Z
dc.date.issued 2004
dc.date.issued 2004
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
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
dc.identifier.issn 0302-9743
dc.identifier.other E1 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.
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.
dc.title On the efficiency of simplified weak Taylor schemes for Monte Carlo simulation in finance
dc.type Conference Proceeding
dc.description.version Published
dc.parent Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
dc.parent Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
dc.journal.volume 3039
dc.journal.number en_US
dc.publocation New York, USA en_US
dc.publocation Singapore
dc.identifier.startpage 771 en_US
dc.identifier.endpage 778 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.conference International Fuzzy Logic and Intelligent technologies in Nuclear Science Conference
dc.conference 4th International Conference on Computational Science (ICCS 2004)
dc.conference.location Poland en_US
dc.for 0802 Computation Theory and Mathematics
dc.personcode 970685
dc.personcode 10086991
dc.percentage 100 en_US
dc.classification.name Computation Theory and Mathematics en_US
dc.classification.type FOR-08 en_US
dc.custom International Conference on Computational Science en_US
dc.date.activity 20040606 en_US
dc.date.activity 2006-08-29
dc.date.activity 2004-06-06
dc.location.activity Poland en_US
dc.location.activity Genova, ITALY
dc.location.activity Krakow, POLAND
pubs.embargo.period Not known
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/Strength - Quantitative Finance
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
pubs.consider-herdc true
utslib.collection.history Closed (ID: 3)
utslib.collection.history General Collection (ID: 346) [2015-05-15T14:12:06+10:00]
utslib.collection.history School of Mathematical Sciences (ID: 340)


Files in this item

This item appears in the following Collection(s)

Show simple item record