A New Simulation Method of Diffusion Processes Applied to Finance

Shigeo Kusuoka and Syoiti Ninomiya
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Shigeo Kusuoka: Graduate School of Mathematical Sciences, The University of Tokyo, 3-8-1 Komaba, Meguro-ku, Tokyo 153-8914, Japan
Syoiti Ninomiya: Center for Research in Advanced Financial Technology, Tokyo Institute of Technology, 2-12-1 Ookayama, Meguro-ku, Tokyo 152-8552, Japan

Chapter 11 in Stochastic Processes and Applications to Mathematical Finance, 2004, pp 233-253 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe authors apply a new simulation method of diffusion processes to finance problems and show that this new method realizes extremely fast calculation.

Keywords: Stochastic Processes; Stochastic Differential Equations; Malliavin Calculus; Stochastic Control and Optimization; Functionals of Brownian Motions and Lévy Processes; Stochastic Models of Financial Market; Derivative Pricing; Hedging Problem (search for similar items in EconPapers)
Date: 2004
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