most citedCubature Methods For Stochastic (Partial) Differential Equations In Weighted Spaces

1 citations · 2 across the 4 of their papers we have counts for

collaborators
Showing math.PRShow all

2 papers · 1 filter

math.PR2012★ 1 cited

Cubature Methods For Stochastic (Partial) Differential Equations In Weighted Spaces

Philipp Doersek, Josef Teichmann, Dejan Veluscek

The cubature on Wiener space method, a high-order weak approximation scheme, is established for SPDEs in the case of unbounded characteristics and unbounded payoffs. We first intro…

math.PR2011★ 1 cited

Efficient simulation and calibration of general HJM models by splitting schemes

Philipp Doersek, Josef Teichmann

We introduce efficient numerical methods for generic HJM equations of interest rate theory by means of high-order weak approximation schemes. These schemes allow for QMC implementa…