Hermite spaces and QMC methods in quantitative finance
Sprache des Vortragstitels:
Englisch
Original Tagungtitel:
International Conference on Monte Carlo techniques Closing conference of thematic cycle
Sprache des Tagungstitel:
Englisch
Original Kurzfassung:
We present the concept of an Hermite space, which is a special
kind of reproducing kernel Hilbert space of functions on the $\R^d$.
We review some tractability results regarding integration in
those spaces.
We shall show that those spaces behave nicely with regard to orthogonal
transforms of the $\R^d$, which in turn can be shown to correspond to
different Brownian path constructions like, e.g., the Brownian bridge
construction.
We present a method for finding fast and efficient path constructions
for a given pricing problem.
Numerical examples will serve to illustrate our findings.
Sprache der Kurzfassung:
Englisch
Vortragstyp:
Hauptvortrag / Eingeladener Vortrag auf einer Tagung