In this short note we derive an exact simulation scheme for the joint distribution of (r(t),N(t)), where r denotes the … generate biases if the model uses larger simulation time-steps.Large time-step simulation of short rate models and the American …

integrand are given by some stochastic differential equation. We also propose numerical simulation of stochastic differential … integrals terms at the initial time of the simulation along with the solution of the stochastic integrals which is found in … terms of Hermite polynomials and variance of the integrals. We apply the method of iterated integrals to simulation of …

research, such as queuing theory. Note: this is an earlier version of the work "Efficient Simulation of Generalized SABR and …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 …

modified version of the stochastic (backward) automatic differentiation.As a test case we consider a hedge simulation requiring …

how an efficient and exact Monte Carlo simulation of the Hull White and G2++ interest rates models could be performed …