Hermite spaces and QMC methods in quantitative finance

Description

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.

Period	05 Jul 2016
Event title	International Conference on Monte Carlo techniques Closing conference of thematic cycle
Event type	Conference
Location	FranceShow on map