Table of Contents
Preface v
Foundations 1
1 Multilevel Monte Carlo methods for applications in finance Mike Giles Lukasz Szpruch 3
2 Convergence of numerical methods for SDEs in finance Peter Kloeden Andreas Neuenkirch 49
3 Inverse problems in finance J. Baumeister 81
4 Asymptotic and non asymptotic approximations for option valuation R. Bompis E. Gobet 159
Algorithms 243
5 Discretization of backward stochastic Volterra integral equations Christian Bender Stanislav Pokalyuk 245
6 Semi-Lagrangian schemes for parabolic equations Kristian Debrabant Espen Robstad Jakobsen 279
7 Derivative-free weak approximation methods for stochastic differential equations Kristian Debrabant Andreas Rößler 299
8 Wavelet solution of degenerate Kolmogoroff forward equations Oleg Reichmann Christoph Schwab 317
9 Randomized multilevel quasi-Monte Carlo path simulation Thomas Gerstner Marco Noll 349
Applications 371
10 Drift-Free Simulation methods for pricing cross-market derivatives with LMM J.L. Fernández M.R. Nogueiras M. Pou C. Vázquez 373
11 Application of simplest random walk algorithms for pricing barrier options M. Krivko M. V. Tretyakov 407
12 Coupling local currency Libor models to FX Libor models John Schoenmakers 429
13 Dimension-wise decompositions and their efficient parallelization Philipp Schröder Peter Mlynczak Gabriel Wittum 445
