Location: EU Supported » PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning » Approximate Inference in Stochastic Processes and Dynamical Systems

Exact simulation of jump diffusions

author:Flavio Goncalves, University of Warwick
published: Aug. 5, 2008,   recorded: May 2008,   views: 163
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Slides

Slides
0:00 Exact Simulation of Diffusions and Jump Diffusions
0:22 Content
1:13 Exact Algorithm (EA) (1)
2:03 Exact Algorithm (EA) (2)
2:31 Exact Algorithm (EA) (3)
3:07 Exact Algorithm (EA) (4)
3:39 Exact Algorithm (EA) (5)
4:03 Exact Algorithm (EA) (6)
4:35 Exact Algorithm (EA) (5)
5:19 Exact Algorithm (EA) (6)
5:55 Exact Algorithm (EA) (7)
6:46 Exact Algorithm (EA) (5)
6:56 Exact Algorithm (EA) (7)
7:17 Exact Algorithm (EA) (8)
7:43 Exact Algorithm (EA) (9)
9:40 Exact Algorithm (EA) (10)
10:08 Exact Algorithm (EA) (11)
10:26 Exact Algorithm (EA) (12)
10:47 Exact Algorithm (EA) (13)
11:31 Exact Algorithm (EA) (14)
13:08 The EA2 algorithm (1)
14:33 The EA2 algorithm (2)
16:00 The EA2 algorithm (3)
17:48 The EA2 algorithm (4)
18:04 The EA2 algorithm (3)
18:08 The EA2 algorithm (4)
18:33 The EA2 algorithm (3)
18:53 The EA3 algorithm (1)
20:44 The EA3 algorithm (2)
23:35 Jump Exact Algorithm (JEA) (1)
24:09 Jump Exact Algorithm (JEA) (2)
25:13 Jump Exact Algorithm (JEA) (3)
25:58 Jump Exact Algorithm (JEA) (4)
26:13 Constructing the JEA (1)
27:40 Constructing the JEA (2)
27:52 Constructing the JEA (3)
28:05 Constructing the JEA (4)
28:32 Constructing the JEA (5)
28:45 Constructing the JEA (6)
28:49 Constructing the JEA (7)
28:52 Constructing the JEA (8)
28:59 Constructing the JEA (9)
29:01 Constructing the JEA (10)
29:06 Constructing the JEA (11)
29:19 Constructing the JEA (12)
29:31 Constructing the JEA (13)
31:24 One realization of JEA
31:40 Comparison with Euler approximation
32:51 Work in progress
34:36 Thank you!
34:59 - Questions
35:17 - Questions
36:01 - Questions
37:23 - Questions
37:29 - Questions
38:19 - Questions
38:57 References
40:20 - Questions

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Description

In this talk I will present the Exact Algorithm for simulation of diffusions proposed by Beskos, Papaspiliopoulos and Roberts (2006) and its extension for simulation of jump diffusions proposed by Casella and Roberts (2008). The algorithm is exact in the sense that there is no discretisation error. I will show some simulation results where the Exact Algorithm is compared to the Euler Approximation in the simulation of jump diffusions.

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