Some applications of the Ninomiya-Victoir scheme in the context of financial engineering

21 May 2012
14:15
CHRISTIAN BAYER
Abstract
Based on ideas from rough path analysis and operator splitting, the Kusuoka-Lyons-Victoir scheme provides a family of higher order methods for the weak approximation of stochastic differential equations. Out of this family, the Ninomiya-Victoir method is especially simple to implement and to adjust to various different models. We give some examples of models used in financial engineering and comment on the performance of the Ninomiya-Victoir scheme and some modifications when applied to these models.
  • Stochastic Analysis Seminar