83 citations · 120 across the 4 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…
q-fin.CP2012★ 83 cited
Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
Michael B. Giles, Lukasz Szpruch
In this paper we introduce a new multilevel Monte Carlo (MLMC) estimator for multi-dimensional SDEs driven by Brownian motions. Giles has previously shown that if we combine a nume…