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Efficient Discretization of Stochastic Integrals
Efficient Discretization of Stochastic Integrals Probability Computational Finance
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2012/4/28
Sharp asymptotic lower bounds of the expected quadratic variation of discretization error in stochastic integration are given. The theory relies on inequalities for the kurtosis and skewness of a gene...
Discretization error of Stochastic Integrals
Discretization error Stochastic Integrals
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2010/10/20
Asymptotic error distribution for approximation of a stochastic integral with respect to continuous semimartingale by Riemann sum with general stochastic partition is studied. Effective discretization...
Exact and high order discretization schemes for Wishart processes and their affine extensions
Wishart processes affine processes exact simulation
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2010/10/21
This work deals with the simulation of Wishart processes and affine diffusions on positive semidefinite matrices. To do so, we focus on the splitting of the infinitesimal generator, in order to use co...
High order discretization schemes for stochastic volatility models
High order discretization schemes stochastic volatility models
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2010/11/2
In usual stochastic volatility models, the process driving the volatility of the asset price evolves accord-ing to an autonomous one-dimensional stochastic differential equation. We assume that the co...