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Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff

Giles, Michael B.; Higham, Desmond J.; Mao, Xuerong - In: Finance and stochastics 13 (2009) 3, pp. 403-413

Persistent link: https://www.econbiz.de/10003899321

Multilevel Monte Carlo for exponential Lévy models

Giles, Michael B.; Xia, Yuan - In: Finance and stochastics 21 (2017) 4, pp. 995-1026

Persistent link: https://www.econbiz.de/10011944462

The exponent expansion : an effective approximation of transition probabilities of diffusion processes and pricing Kernels of financial derivatives

Capriotti, Luca - In: International journal of theoretical and applied finance 9 (2006) 7, pp. 1179-1200

Persistent link: https://www.econbiz.de/10003395996

A closed-form approximation of likelihood functions for discretely sampled diffusions : the exponent expansion

Capriotti, Luca - In: New econometric modelling research, (pp. 187-215). 2008

Persistent link: https://www.econbiz.de/10003694090

A path-integral approximation for non-linear diffusions

Capriotti, Luca - In: Quantitative finance 20 (2020) 1, pp. 29-36

Persistent link: https://www.econbiz.de/10012194852

A Path-Integral Approximation for Non-Linear Diffusions

Capriotti, Luca - 2018

Using the path-integral formalism we develop an accurate and easy-to-compute semi-analytical approximation to transition probabilities and Arrow-Debreu densities for arbitrary diffusions. We illustrate the accuracy of the method by presenting results for the Black-Karasinski model for which the...

Persistent link: https://www.econbiz.de/10012908856

An effective approximation for zero-coupon bonds and arrow-debreu prices in the Black-Karasinski model

Stehlíková, Beáta; Capriotti, Luca - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-16

Persistent link: https://www.econbiz.de/10010438534

Approximation Methods for Inhomogeneous Geometric Brownian Motion

Capriotti, Luca - 2018

We present an accurate and easy-to-compute approximation of the transition probabilities and the associated Arrow-Debreu (AD) prices for the Inhomogeneous Geometric Brownian Motion (IGBM) model for interest rates, default intensities or volatilities. Through this procedure, dubbed exponent...

Persistent link: https://www.econbiz.de/10012911419

Approximation methods for inhomogeneous geometric Brownian motion

Capriotti, Luca; Jiang, Yupeng; Shaimerdenova, Gaukhar - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10012012939

15 years of Adjoint Algorithmic Differentiation (AAD) in finance

Capriotti, Luca; Giles, Mike - In: Quantitative finance 24 (2024) 9, pp. 1353-1379

Persistent link: https://www.econbiz.de/10015196929