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Wavelet Methods

In: Computational Methods for Quantitative Finance

Author

Listed:
  • Norbert Hilber

    (Zurich University of Applied Sciences)

  • Oleg Reichmann

    (Swiss Federal Institute of Technology (ETH))

  • Christoph Schwab

    (Swiss Federal Institute of Technology (ETH))

  • Christoph Winter

    (Allianz Deutschland AG)

Abstract

In the previous sections, we developed various algorithms for the efficient pricing of derivative contracts when the price of the underlying is a one-dimensional diffusion, a multidimensional diffusion, a general stochastic volatility or a one-dimensional Lévy process. In this part, we introduce variational numerical methods for pricing under yet more general processes with the aim of achieving linear complexity.

Suggested Citation

  • Norbert Hilber & Oleg Reichmann & Christoph Schwab & Christoph Winter, 2013. "Wavelet Methods," Springer Finance, in: Computational Methods for Quantitative Finance, edition 127, chapter 0, pages 159-176, Springer.
    • Handle: RePEc:spr:sprfcp:978-3-642-35401-4_12
    DOI: 10.1007/978-3-642-35401-4_12
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