Wavelet Methods

  • Norbert Hilber
  • Oleg Reichmann
  • Christoph Schwab
  • Christoph Winter
Part of the Springer Finance book series (FINANCE)


In the previous sections, we developed various algorithms for the efficient pricing of derivative contracts when the price of the underlying is a one-dimensional diffusion, a multidimensional diffusion, a general stochastic volatility or a one-dimensional Lévy process. In this part, we introduce variational numerical methods for pricing under yet more general processes with the aim of achieving linear complexity.


Linear Complexity Time Step Scheme Local Volatility Spline Wavelet Singular Support 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  • Norbert Hilber
    • 1
  • Oleg Reichmann
    • 2
  • Christoph Schwab
    • 2
  • Christoph Winter
    • 3
  1. 1.Dept. for Banking, Finance, Insurance, School of Management and LawZurich University of Applied SciencesWinterthurSwitzerland
  2. 2.Seminar for Applied MathematicsSwiss Federal Institute of Technology (ETH)ZurichSwitzerland
  3. 3.Allianz Deutschland AGMunichGermany

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