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A Review of Recent Results on Approximation of Solutions of Stochastic Differential Equations
16 references·2 citing·37 second hop
A Review of Recent Results on Approximation of Solutions of Stochastic Differential Equations (2011)A Review of Recent Results on Approximati…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing (2008)Weak Approximation of Stochas…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Statistical Romberg extrapolation: A new variance reduction method and applications to option pricing (2005)Statistical Romberg extrapola…On the discretization schemes for the CIR (and Bessel squared) processes (2005)On the discretization schemes…Cubature on Wiener space (2004)Cubature on Wiener spaceCredit default swap calibration and derivatives pricing with the SSRD stochastic intensity model (2004)Credit default swap calibrati…Propriété LAN pour les diffusions ergodiques avec observations discrètes (2002)Propriété LAN pour les diffus…Complete Models with Stochastic Volatility (1998)Complete Models with Stochast…Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Asymptotic error distribution…The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density (1996)The Law of the Euler Scheme f…The law of the Euler scheme for stochastic differential equations (1996)The law of the Euler scheme f…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations (1991)Weak Limit Theorems for Stoch…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Numerical approximation of irregular SDEs via Skorokhod embeddings (2016)Numerical approximation of ir…On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs (2012)On the rate of convergence of…Limit Theorems for Stochastic Processes (1987)Stochastic Integration and Differential Equations (1990)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales (2005)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)On the Convergence of Ordinary Integrals to Stochastic Integrals (1965)Nonlinear Regressions with Integrated Time Series (2001)Threshold Autoregression with a Unit Root (2001)Stochastic Integration and Differential Equations : A New Approach (2014)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Local martingales, bubbles and option prices (2005)A Delayed Black and Scholes Formula (2007)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Brownian Motion and Stochastic Calculus (2007)A comparison of biased simulation schemes for stochastic volatility models (2009)High order discretization schemes for the CIR process: Application to affine term structure and Heston models (2009)THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL (2016)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets (2002)Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)
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134 cited
  • 2002Propriété LAN pour les diffusions ergodiques avec observations discrètes119 cited
  • Cited by

    • 2012On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs16 cited
    • 2016Numerical approximation of irregular SDEs via Skorokhod embeddings15 cited