Multilevel monte carlo methods for applications in finance

Michael B. Giles, Lukasz Szpruch

Research output: Chapter in Book/Report/Conference proceedingChapter

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.

Original languageEnglish
Title of host publicationHigh-Performance Computing in Finance
Subtitle of host publicationProblems, Methods, and Solutions
PublisherTaylor and Francis AS
Pages197-247
Number of pages51
ISBN (Electronic)9781482299670
ISBN (Print)9781482299663
DOIs
Publication statusPublished - 1 Jan 2018

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