@inbook{f79e1298731d44b5be4affcd4d36e38c,
title = "Multilevel Monte Carlo methods for applications in finance",
abstract = "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 finance. This paper surveys the progress so far, highlights the key features in achieving a high rate of multilevel variance convergence, and suggests directions for future research.",
author = "Lukas Szpruch and Mike Giles",
year = "2013",
language = "English",
isbn = "978-981-4436-42-7 ",
series = "Interdisciplinary Mathematical Sciences",
publisher = "World Scientific",
editor = "Thomas Gerstner and Peter Kloeden",
booktitle = "Recent Advances in Computational Finance",
}