A weak MLMC scheme for Lévy-copula-driven SDEs with applications to the pricing of credit, equity and interest rate derivatives (2022)

First Author: Mijatovic A

Attributed to: DMS-EPSRC: Fast martingales, large deviations and randomised gradients for heavy-tailed target distributions funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.48550/arxiv.2211.02528

Publication URI: https://arxiv.org/abs/2211.02528

Type: Preprint