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Veröffentlichungen
| Autoren |
Jahr |
Titel |
Gross, Bastian | 2009 |
Numerische Simulation von Levymodellen zur Optionspreisbewertung
Diplomarbeit |
| 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.
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| 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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 Mail an den Betreuer |
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| Fachbereich
IV - Mathematik |
Universität
Trier, D-54286 Trier  |
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http://www.math.uni-trier.de/ |
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