67 citations · 296 across the 28 of their papers we have counts for
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math.NA2015★ 67 cited
A Strong Order 1/2 Method for Multidimensional SDEs with Discontinuous Drift
Gunther Leobacher, Michaela Szölgyenyi
In this paper we consider multidimensional stochastic differential equations (SDEs) with discontinuous drift and possibly degenerate diffusion coefficient. We prove an existence an…
math.NA2015
Fast orthogonal transforms for multi-level quasi-Monte Carlo integration
Christian Irrgeher, Gunther Leobacher
We combine a generic method for finding fast orthogonal transforms for a given quasi-Monte Carlo integration problem with the multilevel Monte Carlo method. It is shown by example…
math.NA2015
Fast Orthogonal transforms for pricing derivatives with quasi-Monte Carlo
Christian Irrgeher, Gunther Leobacher
There are a number of situations where, when computing prices of financial derivatives using quasi-Monte Carlo (QMC), it turns out to be beneficial to apply an orthogonal transform…