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Simulating the Heston Model via the ...

Zhao, Xiaoyang.

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Simulating the Heston Model via the QE Method with a Specified Error Tolerance.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Simulating the Heston Model via the QE Method with a Specified Error Tolerance./
Author:	Zhao, Xiaoyang.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2017,
Description:	36 p.
Notes:	Source: Masters Abstracts International, Volume: 56-04.
Contained By:	Masters Abstracts International56-04(E).
Subject:	Mathematics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10273891
ISBN:	9781369853131

Simulating the Heston Model via the QE Method with a Specified Error Tolerance.
Zhao, Xiaoyang.

Simulating the Heston Model via the QE Method with a Specified Error Tolerance. - Ann Arbor : ProQuest Dissertations & Theses, 2017 - 36 p.

Source: Masters Abstracts International, Volume: 56-04.

Thesis (M.S.)--Illinois Institute of Technology, 2017.

The Quadratic Exponential (QE) model is a market standard simulation method for the Heston stochastic volatility model. We identify certain numerical problems with the standard discretization and modify the original method to correct these problems. We implement our modified QE scheme for the Heston model in the Guaranteed Automatic Integration Library (GAIL)---a suite of algorithms that includes Monte Carlo and quasi-Monte Carlo methods for multidimensional integration and computation of means. GAIL computes answers to satisfy user-defined error tolerances. We also implement variance reduction techniques for our modified QE scheme in GAIL. The numerical results show that our modified scheme is fast and accurate, and satisfies the user-defined error tolerances.

ISBN: 9781369853131Subjects--Topical Terms:

515831
Mathematics.

Simulating the Heston Model via the QE Method with a Specified Error Tolerance.
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100 1 $a Zhao, Xiaoyang. $3 2068080
245 1 0 $a Simulating the Heston Model via the QE Method with a Specified Error Tolerance.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2017
300 $a 36 p.
500 $a Source: Masters Abstracts International, Volume: 56-04.
500 $a Adviser: Fred J. Hickernell.
502 $a Thesis (M.S.)--Illinois Institute of Technology, 2017.
520 $a The Quadratic Exponential (QE) model is a market standard simulation method for the Heston stochastic volatility model. We identify certain numerical problems with the standard discretization and modify the original method to correct these problems. We implement our modified QE scheme for the Heston model in the Guaranteed Automatic Integration Library (GAIL)---a suite of algorithms that includes Monte Carlo and quasi-Monte Carlo methods for multidimensional integration and computation of means. GAIL computes answers to satisfy user-defined error tolerances. We also implement variance reduction techniques for our modified QE scheme in GAIL. The numerical results show that our modified scheme is fast and accurate, and satisfies the user-defined error tolerances.
590 $a School code: 0091.
650 4 $a Mathematics. $3 515831
650 4 $a Applied mathematics. $3 2122814
690 $a 0405
690 $a 0364
710 2 $a Illinois Institute of Technology. $b Applied Mathematics. $3 3195037
773 0 $t Masters Abstracts International $g 56-04(E).
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792 $a 2017
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10273891