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Thesis

Multilevel Monte Carlo for jump processes

Abstract:

This thesis consists of two parts. The first part (Chapters 2-4) considers multilevel Monte Carlo for option pricing in finite activity jump-diffusion models. We use a jump-adapted Milstein discretisation for constant rate cases and with the thinning method for bounded state-dependent rate cases. Multilevel Monte Carlo estimators are constructed for Asian, lookback, barrier and digital options. The computational efficiency is numerically demonstrated and analytically justified.

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Oxford college:
St Hugh's College
Role:
Author

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Division:
MPLS
Department:
Mathematical Institute
Role:
Supervisor
Publication date:
2013
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
Oxford University, UK
Language:
English
Subjects:
UUID:
uuid:7bc8e98a-0216-4551-a1f3-1b318e514ee8
Local pid:
ora:8751
Deposit date:
2014-07-10

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