Algebraic Structure of Vector Fields in Financial Diffusion Models and its Applications
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Syoiti Ninomiya & Nicolas Victoir, 2008. "Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(2), pages 107-121.
- Mariko Ninomiya & Syoiti Ninomiya, 2009. "A new higher-order weak approximation scheme for stochastic differential equations and the Runge–Kutta method," Finance and Stochastics, Springer, vol. 13(3), pages 415-443, September.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Masahiro Nishiba, 2013. "Pricing Exotic Options and American Options: A Multidimensional Asymptotic Expansion Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(2), pages 147-182, May.
- Benjamin Jourdain & Mohamed Sbai, 2013. "High order discretization schemes for stochastic volatility models," Post-Print hal-00409861, HAL.
- Kazuhiro Yoshikawa, 2015. "An Approximation Scheme for Diffusion Processes Based on an Antisymmetric Calculus over Wiener Space," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(2), pages 185-207, May.
- Akiyama, Naho & Yamada, Toshihiro, 2024. "A weak approximation for Bismut’s formula: An algorithmic differentiation method," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 216(C), pages 386-396.
- Denis Belomestny & Tigran Nagapetyan, 2014. "Multilevel path simulation for weak approximation schemes," Papers 1406.2581, arXiv.org, revised Oct 2014.
- Aur'elien Alfonsi & Edoardo Lombardo, 2022. "High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids," Papers 2209.13334, arXiv.org, revised Apr 2023.
- Christian Bayer & Peter Friz & Ronnie Loeffen, 2010. "Semi-Closed Form Cubature and Applications to Financial Diffusion Models," Papers 1009.4818, arXiv.org.
- Riu Naito & Toshihiro Yamada, 2024. "Deep Kusuoka Approximation: High-Order Spatial Approximation for Solving High-Dimensional Kolmogorov Equations and Its Application to Finance," Computational Economics, Springer;Society for Computational Economics, vol. 64(3), pages 1443-1461, September.
- Christian Bayer & Peter K. Friz & Paul Gassiat & Jorg Martin & Benjamin Stemper, 2020. "A regularity structure for rough volatility," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 782-832, July.
- Shigeto Kusuoka & Mariko Ninomiya & Syoiti Ninomiya, 2012. "Application Of The Kusuoka Approximation To Barrier Options," CARF F-Series CARF-F-277, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Jean-Franc{c}ois Chassagneux & Junchao Chen & Noufel Frikha, 2022. "Deep Runge-Kutta schemes for BSDEs," Papers 2212.14372, arXiv.org.
- Mariko Ninomiya & Syoiti Ninomiya, 2009. "A new higher-order weak approximation scheme for stochastic differential equations and the Runge–Kutta method," Finance and Stochastics, Springer, vol. 13(3), pages 415-443, September.
- Kenichiro Shiraya & Akihiko Takahashi & Masashi Toda, 2010. "Pricing Barrier and Average Options under Stochastic Volatility Environment," CIRJE F-Series CIRJE-F-745, CIRJE, Faculty of Economics, University of Tokyo.
- Goodell, John W. & Kumar, Satish & Lim, Weng Marc & Pattnaik, Debidutta, 2021. "Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis," Journal of Behavioral and Experimental Finance, Elsevier, vol. 32(C).
- Al Gerbi Anis & Jourdain Benjamin & Clément Emmanuelle, 2016. "Ninomiya–Victoir scheme: Strong convergence, antithetic version and application to multilevel estimators," Monte Carlo Methods and Applications, De Gruyter, vol. 22(3), pages 197-228, September.
- Abdelkoddousse Ahdida & Aur'elien Alfonsi, 2010. "Exact and high order discretization schemes for Wishart processes and their affine extensions," Papers 1006.2281, arXiv.org, revised Mar 2013.
- Rey, Clément, 2019. "Approximation of Markov semigroups in total variation distance under an irregular setting: An application to the CIR process," Stochastic Processes and their Applications, Elsevier, vol. 129(2), pages 539-571.
- Abdelkoddousse Ahdida & Aurélien Alfonsi, 2013. "Exact and high order discretization schemes for Wishart processes and their affine extensions," Post-Print hal-00491371, HAL.
- Ahdida, Abdelkoddousse & Alfonsi, Aurélien, 2013. "A mean-reverting SDE on correlation matrices," Stochastic Processes and their Applications, Elsevier, vol. 123(4), pages 1472-1520.
- Anis Al Gerbi & Benjamin Jourdain & Emmanuelle Cl'ement, 2015. "Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators," Papers 1508.06492, arXiv.org, revised Oct 2015.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1510.02013. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.