Listagem FGV EMAp - Escola de Matemática Aplicada por Assunto "Análise numérica"

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Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise

Cruz Cancino, Hugo Alexander de la; Jimenez, Juan Carlos
2011-09-23

There is a variety of strong Local Linearization (LL) schemes for the numerical integration of stochastic differential equations with additive noise, which differ with respect to the algorithm that is used in the numerical ...
Um método de linearização local com passo adaptativo para solução numérica de equações diferenciais estocásticas com ruído aditivo

Maio, Pablo Aguiar de
2015-07-31

In this work we present a new numerical method with adaptive stepsize based on the local linearization approach, to integrate stochastic differential equations with additive noise. We also propose a computational scheme ...
On the numerical methods for the Heston model

Teixeira, Fernando Ormonde
2017-09-29

In this thesis we revisit numerical methods for the simulation of the Heston model’sEuropean call. Specifically, we study the Euler, the Kahl-Jackel an two versions of theexact algorithm schemes. To perform this task, ...