Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance

Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients

(2011) Andrea Barth et al.   NUMERISCHE MATHEMATIK

Stochastic Evolution Equations in Portfolio Credit Modelling

(2011) N. Bush et al.   SIAM Journal on Financial Mathematics

A Lax equivalence theorem for stochastic differential equations

(2010) Annika Lang   JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods

(2010) Evelyn Buckwar et al.   MATHEMATICS AND COMPUTERS IN SIMULATION

Interacting particle systems for the computation of rare credit portfolio losses

(2009) René Carmona et al.   FINANCE AND STOCHASTICS

Multilevel Monte Carlo Path Simulation

(2008) Michael B. Giles   OPERATIONS RESEARCH