Forums  > Pricing & Modelling  > Ito-Hermite Method for simulation of SDEs: A Formal Explanation  
     
Page 1 of 1
Display using:  

amin


Total Posts: 284
Joined: Aug 2005
 
Posted: 2019-09-02 09:26
I have written a formal explanation of the Ito-Hermite algorithm for simulation of SDE densities with the help of detailed equations. You can also download the new version of code for Ito-Hermite simulation of densities of mean reverting SDEs of the kind used in stochastic volatility and interest rates modeling.
Please read post No. 801 here: https://forum.W****tt.com/viewtopic.php?f=4&t=99702&start=795
https://lnkd.in/dVggCEz
You can download the new code in Post 802.
Sorry. I would love to post the complete material here but it is a lot of Latex and tedious to write again. Please pardon my laziness to not write the whole post here again. I hope friends would love the explanation of this new method.

Cheers,

Amin
Previous Thread :: Next Thread 
Page 1 of 1