Search Results - subject:"exact simulation"

Pricing energy derivatives in markets driven by tempered stable and CGMY processes of Ornstein-Uhlenbeck type

Sabino, Piergiacomo - In: Risks : open access journal 10 (2022) 8, pp. 1-23

that the spot dynamics is consistent with the forward curve. Moreover, we also conceive efficient algorithms for the exact … simulation of the skeleton of such processes and propose a novel procedure when they coincide with compound Poisson processes of …

Persistent link: https://www.econbiz.de/10013368314

The weak convergence rate of two semi-exact discretization schemes for the Heston model

Mickel, Annalena; Neuenkirch, Andreas - In: Risks 9 (2021) 1, pp. 1-38

for the Heston model, which are based on exact simulation of the underlying volatility process. Both for an Euler- and a …

Persistent link: https://www.econbiz.de/10013200693

The weak convergence rate of two semi-exact discretization schemes for the Heston model

Mickel, Annalena; Neuenkirch, Andreas - In: Risks : open access journal 9 (2021) 1/23, pp. 1-38

for the Heston model, which are based on exact simulation of the underlying volatility process. Both for an Euler- and a …

Persistent link: https://www.econbiz.de/10012423114

Parisian time of reflected Brownian motion with drift on rays and its application in banking

Dassios, Angelos; Zhang, Junyi - In: Risks 8 (2020) 4, pp. 1-14

derive the Laplace transform of the Parisian time using a recursive method, and provide an exact simulation algorithm to …

Persistent link: https://www.econbiz.de/10013200660

Parisian time of reflected Brownian motion with drift on rays and its application in banking

Dassios, Angelos; Zhang, Junyi - In: Risks : open access journal 8 (2020) 4/127, pp. 1-14

derive the Laplace transform of the Parisian time using a recursive method, and provide an exact simulation algorithm to …

Persistent link: https://www.econbiz.de/10012391003

A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model

Heath, David; Platen, Eckhard - Finance Discipline Group, Business School - 2014

reduction is then formulated to approximate the true solution. Almost exact simulation schemes are described for the given state …

Persistent link: https://www.econbiz.de/10010888484

A Monte Carlo method using PDE expansions for a diversifed equity index model

Heath, David C.; Platen, Eckhard - 2014

Persistent link: https://www.econbiz.de/10011344801

Exact and high order discretization schemes for Wishart processes and their affine extensions

Ahdida, Abdelkoddousse; Alfonsi, Aurélien - HAL - 2013

Wishart distributions, without any restriction on the parameters. It is related but extends existing exact simulation methods … second-order schemes for general affine diffusions. These schemes are in practice faster than the exact simulation to sample …

Persistent link: https://www.econbiz.de/10010898676

Quasi-Monte Carol Methods for the Heston Model

Baldeaux, Jan; Roberts, Dale - Finance Discipline Group, Business School - 2012

the Broadie-Kaya algorithm, an exact simulation scheme for the Heston model. As the joint transition densities are not …

Persistent link: https://www.econbiz.de/10010883500

Simulation of Diversified Portfolios in a Continuous Financial Market

Platen, Eckhard; Rendek, Renata - Finance Discipline Group, Business School - 2010

The paper analyzes the simulated long-term behavior of well diversified portfolios in continuous financial markets. It focuses on the equi-weighted index and the market portfolio. The paper illustrates that the equally weighted portfolio constitutes a good proxy of the growth optimal portfolio,...

Persistent link: https://www.econbiz.de/10008492107