3 papers
q-fin.PR2020
Series expansions and direct inversion for the Heston model
Simon J. A. Malham, Jiaqi Shen, Anke Wiese
Efficient sampling for the conditional time integrated variance process in the Heston stochastic volatility model is key to the simulation of the stock price based on its exact dis…
math.AP2020
Grassmannian flows and applications to non-commutative non-local and local integrable systems
Anastasia Doikou, Simon J. A. Malham, Ioannis Stylianidis
We present a method for linearising classes of matrix-valued nonlinear partial differential equations with local and nonlocal nonlinearities. Indeed we generalise a linearisation p…
math-ph2018
Stochastic analysis & discrete quantum systems
Anastasia Doikou, Simon J. A. Malham, Anke Wiese
We explore the connections between the theories of stochastic analysis and discrete quantum mechanical systems. Naturally these connections include the Feynman-Kac formula, and the…