Quotation Derflinger, Gerhard, Hörmann, Wolfgang, Leydold, Josef, Sak, Halis. 2009. Efficient Numerical Inversion for Financial Simulations. Department of Statistics and Mathematics, Research Report Series, Report 87.


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Abstract

Generating samples from generalized hyperbolic distributions and non-central chi-square distributions by inversion has become an important task for the simulation of recent models in finance in the framework of (quasi-) Monte Carlo. However, their distribution functions are quite expensive to evaluate and thus numerical methods like root finding algorithms are extremely slow. In this paper we demonstrate how our new method based on Newton interpolation and Gauss-Lobatto quadrature can be utilized for financial applications. Its fast marginal generation times make it competitive, even for situations where the parameters are not always constant.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Working/discussion paper, preprint
Language English
Title Efficient Numerical Inversion for Financial Simulations
Title of whole publication Department of Statistics and Mathematics, Research Report Series, Report 87
Year 2009
URL http://epub.wu-wien.ac.at/dyn/virlib/wp/showentry?ID=epub-wu-01_f08&from=NEW&style=blank

Associations

People
Derflinger, Gerhard (Former researcher)
Hörmann, Wolfgang (Former researcher)
Leydold, Josef (Details)
Sak, Halis (Former researcher)
Organization
Institute for Statistics and Mathematics IN (Details)
Research Institute for Computational Methods FI (Details)
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