Workshop on Approximate Inference in Stochastic Processes and Dynamical Systems, Cumberland Lodge 2008

Exact simulation of jump diffusions

author: Flavio Goncalves, University of Warwick
published: Aug. 5, 2008, recorded: May 2008, views: 4300

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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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