Seminar series
Date
Mon, 21 May 2007
15:45
15:45
Location
DH 3rd floor SR
Speaker
Greg Gyurko
Organisation
Oxford
The "Cubature on Wiener space" algorithm can be regarded as a general
approach to high order weak approximations. Based on this observation we will
derive many well known weak discretisation schemes and optimise the
computational effort required for a given accuracy of the approximation. We show
that cubature can also help to overcome some stability difficulties. The
cubature on Wiener space algorithm is frequently combined with partial sampling
techniques and we outline an extension to these methods to reduce the variance
of the samples. We apply the extended method to examples arising in mathematical
finance.
Joint work of G. Gyurko, C. Litterer and T. Lyons