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20092013
most citedA new look at the Heston characteristic function

19 citations · 22 across the 6 of their papers we have counts for

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math.PR2013

An Euler-Poisson Scheme for Lévy driven SDEs

Albert Ferreiro-Castilla, Andreas E Kyprianou, Robert Scheichl

We describe an Euler scheme to approximate solutions of Lévy driven Stochastic Differential Equations (SDE) where the grid points are random and given by the arrival times of a Poi…

math.PR2013★ 1 cited

Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots

Albert Ferreiro-Castilla, Kees van Schaik

In this note we apply the recently established Wiener-Hopf Monte Carlo (WHMC) simulation technique for Levy processes from Kuznetsov et al. [17] to path functionals, in particular…