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Publications
| Authors |
Year |
Title |
| Gross, Bastian | 2009 |
Numerical Simulation of Levy-models for Option Pricing
Diploma-Thesis
|
| Gross, Bastian & Sachs, Ekkehard | 2013 |
Fast Calibration of Financial Models under SDE Constraints Using
Monte-Carlo Adjoint Techniques
Abstract: The purpose of this paper is to measure the strong and weak order of
convergence of Euler-Maruyama, Milstein and predictor-corrector schemes. We apply
those three schemes to the Black-Scholes model, several jump diffusion models and
the stochastic volatility Heston model. Furthermore, we develop an adjoint technique
to solve calibration problems of financial models.
|
| Bender, Christian & Gross, Bastian & Sachs, Ekkehard | 2014 |
Adjoint SDE for Calibration
Abstract: This paper deals with the question of how the numerical solution of SDE
constrained optimal control problems of the so called discretize-then-optimize approach
coincide with the solution of the opposed optimize-then-discretize approach. We
apply both approaches to calculate adjoint information which generates the required
derivatives of the calibration functional.
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