Papers › A weak MLMC scheme for Lévy-copula-driven SDEs with applications to the pricing of...
A weak MLMC scheme for Lévy-copula-driven SDEs with applications to the pricing of credit, equity and interest rate derivatives
Aleksandar Mijatović, Romain Palfray
This paper develops a novel weak multilevel Monte-Carlo (MLMC) approximation scheme for L\'evy-driven Stochastic Differential Equations (SDEs). The scheme is based on the state space discretization (via a continuous-time Markov chain approximation) of the pure-jump component of the driving L\'evy process and is particularly suited if the multidimensional driver is given by a L\'evy copula. The multilevel version of the algorithm requires a new coupling of the approximate L\'evy drivers in the consecutive levels of the scheme, which is defined via a coupling of the corresponding Poisson point processes. The multilevel scheme is weak in the sense that the bound on the level variances is based on the coupling alone without requiring strong convergence. Moreover, the coupling is natural for the proposed discretization of jumps and is easy to simulate. The approximation scheme and its multilevel analogous are applied to examples taken from mathematical finance, including the pricing of credit, equity and interest rate derivatives.
Code
Repository list and official/mentioned flags are the archive's, frozen 2025-07-28. Reachability, where shown, is from one Syntology probe window (2026-09-16 to 2026-09-18); repositories not probed show nothing. GitHub stars are not tracked.
Code Syntology ran Syntology
Not run by Syntology. Nothing on this page verifies that the listed code works.
Tasks
Results from the paper archive 2025-07-28
No leaderboard rows for this paper in the archive.
Report a problem or propose a change · a person checks every report against the paper or source before anything changes; decisions are listed on /corrections