This article presents a comprehensive review and comparison of the Monte Carlo and quasi‐
Monte Carlo sampling techniques, which are widely used in numerical integration …

Stochastic differential equations (SDEs) are widely used models to describe the evolution of
stochastic processes. Among them, SDEs driven by fractional Brownian motion (fBm) have …

The class of Affine (Jump) Diffusion (AD) has, due to its closed form characteristic function
(ChF), gained tremendous popularity among practitioners and researchers. However, there …

The way multipacting develops, depends strongly on the secondary emission property of the
surface material. The knowledge of secondary electron yield is crucial for accurate …

We investigate analytical solvability of models with affine stochastic volatility (SV) and Lévy
jumps by deriving a unified formula for the conditional moment generating function of the log …

We propose an accurate data-driven numerical scheme to solve stochastic differential
equations (SDEs), by taking large time steps. The SDE discretization is built up by means of …

Exposure simulations are fundamental to many xVA calculations and are a nested
expectation problem where repeated portfolio valuations create a significant computational …

In this paper, we will present a multiple time step Monte Carlo simulation technique for
pricing options under the Stochastic Alpha Beta Rho model. The proposed method is an …

We focus on extending existing short-rate models, enabling control of the generated implied
volatility while preserving analyticity. We achieve this goal by applying the Randomized …

A novel method is proposed to infer Bayesian predictions of computationally expensive
models. The method is based on the construction of quadrature rules, which are well-suited …