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JohnLeM
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Joined: September 16th, 2008, 7:15 pm

Boosting convergence rate of numerical simulations for Monte-Carlo and PDE

October 30th, 2017, 8:09 am

Hello,
I would like to point out this link for discussion in this forum before eventually publishing the results. 

The topic is the following : it is a new method to our knowledge to produce samples for Monte-Carlo methods that we use also for PDE (Partial Differential Equations) methods. We can compute these Monte Carlo samples for a quite large class of stochastic processes: any stochastic processes defined by an SDE (Stochastic Differential Equations), and also in high dimensions (we tested up to 64 dimensions). These samples can be used together with a PDE engine to boost convergence rate of regulatory type computations, as illustrated in the post.
Note that we used this sampling method for this Wilmot post.