A weak MLMC scheme for Lévy-copula-driven SDEs with applications to the pricing of credit, equity and interest rate derivatives

1 code implementation • 4 Nov 2022 • Aleksandar Mijatović, Romain Palfray

This paper develops a novel weak multilevel Monte-Carlo (MLMC) approximation scheme for L\'evy-driven Stochastic Differential Equations (SDEs).

Point Processes