Cubature on Wiener space and Multilevel Monte-Carlo
|
Thu, 03/11/2011 13:00 |
Greg Gyurko |
Mathematical Finance Internal Seminar  |
DH 1st floor SR |
| Cubature on Wiener space" is a numerical method for the weak approximation of SDEs. After an introduction to this method we present some cases when the method is computationally expensive, and highlight some techniques that improve the tractability. In particular, we adapt the Multilevel Monte-Carlo framework and extend the Milstein-scheme based version of Mike Giles to higher dimensional and higher degree cases. | |||