associated algorithms for their exact simulation. The underlying models are extensions of the classical Hawkes process, which … sequentially decomposed into simple random variables, which immediately leads to a very efficient simulation scheme. Our algorithms …

We propose a novel Monte Carlo simulation method for two-dimensional stochastic differential equation (SDE) systems … based on approximation through continuous-time Markov chains (CTMCs). Specifically, we propose an efficient simulation … and the stochastic alpha beta rho (SABR) models as special cases. Our simulation algorithm is constructed based on …

advanced economic settings or to price derivatives on corporate securities. Numerical examples make the theory easily …

Monte Carlo scheme which converges to the exact value. We manage to keep the simulation variance finite in all cases, so … that the strong law of large numbers guarantees the convergence. Moreover, the simulation noise is a decreasing function of …

with simulation capabilities for scenario analyses, risk assessment and forecasting purposes. It utilizes a panel vector …