207 citations · 416 across the 27 of their papers we have counts for
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q-fin.CP2012
Multilevel Monte Carlo methods for applications in finance
Mike Giles, Lukasz Szpruch
Since Giles introduced the multilevel Monte Carlo path simulation method [18], there has been rapid development of the technique for a variety of applications in computational fina…
math.NA2012★ 1 cited
Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance
Michael B. Giles, Christoph Reisinger
In this article, we propose a Milstein finite difference scheme for a stochastic partial differential equation (SPDE) describing a large particle system. We show, by means of Fouri…