Multivariate Markov Chain Approximations

Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations

SSRN Electronic Journal ◽

10.2139/ssrn.3691568 ◽

2020 ◽

Author(s):

Zhenyu Cui ◽

Justin Kirkby ◽

Duy Nguyen

Keyword(s):

Markov Chain ◽

Local Volatility ◽

Efficient Simulation ◽

Volatility Models ◽

Markov Chain Approximations ◽

Stochastic Local Volatility

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Finite state markov-chain approximations to univariate and vector autoregressions

Economics Letters ◽

10.1016/0165-1765(86)90168-0 ◽

1986 ◽

Vol 20 (2) ◽

pp. 177-181 ◽

Cited By ~ 673

Author(s):

George Tauchen

Keyword(s):

Markov Chain ◽

Vector Autoregressions ◽

Finite State ◽

Markov Chain Approximations

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Sampling-based algorithm for filtering using Markov chain approximations

2012 IEEE 51st IEEE Conference on Decision and Control (CDC) ◽

10.1109/cdc.2012.6426014 ◽

2012 ◽

Cited By ~ 1

Author(s):

Pratik Chaudhari ◽

Sertac Karaman ◽

Emilio Frazzoli

Keyword(s):

Markov Chain ◽

Markov Chain Approximations

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Error analysis of finite difference and Markov chain approximations for option pricing

Mathematical Finance ◽

10.1111/mafi.12161 ◽

2017 ◽

Vol 28 (3) ◽

pp. 877-919 ◽

Cited By ~ 25

Author(s):

Lingfei Li ◽

Gongqiu Zhang

Keyword(s):

Markov Chain ◽

Finite Difference ◽

Error Analysis ◽

Option Pricing ◽

Markov Chain Approximations

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Trees and Markov Chain Approximations

Numerical Solution of Stochastic Differential Equations with Jumps in Finance - Stochastic Modelling and Applied Probability ◽

10.1007/978-3-642-13694-8_17 ◽

2010 ◽

pp. 697-753

Author(s):

Eckhard Platen ◽

Nicola Bruti-Liberati

Keyword(s):

Markov Chain ◽

Markov Chain Approximations

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Markov chain approximations to symmetric diffusions

Annales de l Institut Henri Poincaré Probabilités et Statistiques ◽

10.1016/s0246-0203(97)80107-0 ◽

1997 ◽

Vol 33 (5) ◽

pp. 619-649 ◽

Cited By ~ 27

Author(s):

D Stroock

Keyword(s):

Markov Chain ◽

Markov Chain Approximations

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The non-locality of Markov chain approximations to two-dimensional diffusions

Mathematics and Computers in Simulation ◽

10.1016/j.matcom.2016.06.001 ◽

2018 ◽

Vol 143 ◽

pp. 176-185 ◽

Cited By ~ 5

Author(s):

C. Reisinger

Keyword(s):

Markov Chain ◽

Two Dimensional ◽

Markov Chain Approximations ◽

Non Locality

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Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations

European Journal of Operational Research ◽

10.1016/j.ejor.2020.09.008 ◽

2021 ◽

Vol 290 (3) ◽

pp. 1046-1062

Author(s):

Zhenyu Cui ◽

J. Lars Kirkby ◽

Duy Nguyen

Keyword(s):

Markov Chain ◽

Local Volatility ◽

Efficient Simulation ◽

Volatility Models ◽

Markov Chain Approximations ◽

Stochastic Local Volatility

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Efficient Simulation of Stochastic Differential Equations Based on Markov Chain Approximations With Applications

SSRN Electronic Journal ◽

10.2139/ssrn.3665661 ◽

2020 ◽

Author(s):

Zhenyu Cui ◽

Justin Kirkby ◽

Duy Nguyen

Keyword(s):

Markov Chain ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Efficient Simulation ◽

Markov Chain Approximations

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Markov Chain Approximations: Path and Control Delayed.

Numerical Methods for Controlled Stochastic Delay Systems ◽

10.1007/978-0-8176-4621-9_7 ◽

2008 ◽

pp. 159-191

Keyword(s):

Markov Chain ◽

Markov Chain Approximations ◽

And Control

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