Forums  > Pricing & Modelling  > Ito-Hermite Method for simulation of SDEs: A Formal Explanation  
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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****
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.


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