Christian Bayer (Universität Wien) :
Some applications of cubature on Wiener space
Zeit und Ort
Mittwoch, 6.4.11, 11:15-12:15, Raum 232
Zusammenfassung
Weak approximation of SDEs is one of the most important topics\nnumerical topics of mathematical finance.\nWe give an overview of the Kusuoka-Lyons-Victoir method of cubature on Wiener space and some of its variants (mostly the Ninomiya-Victoir method) and extensions, for instance to processes with jumps and stochastic partial differential equations. We also present some applications in finance.\n