Ito-Hermite Method for simulation of SDEs: A Formal Explanation

amin · Post by **amin** » Mon Sep 02, 2019 9:26 am

I have written a formal explanation of the Ito-Hermite algorithm for simulation of SDE densities with the help of detailed equations. You can also download the new version of code for Ito-Hermite simulation of densities of mean reverting SDEs of the kind used in stochastic volatility and interest rates modeling.

Please read post No. 801 here: https://forum.W****tt.com/viewtopic.php?f=4&t=99702&start=795

https://lnkd.in/dVggCEz

You can download the new code in Post 802.

Sorry. I would love to post the complete material here but it is a lot of Latex and tedious to write again. Please pardon my laziness to not write the whole post here again. I hope friends would love the explanation of this new method.

Cheers,

Amin