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abstract:
In this talk we present an implementation of a fast multilevel Monte Carlo scheme for L\'evy-driven SDEs introduced and analysed in the previous research. The scheme is based on direct simulation of L\'evy increments. We give an efficient implementation of the algorithm. In particular, we explain direct simulation techniques for L\'evy increments.
Further, we optimise over the involved parameters and, in particular, the refinement multiplier. We stress that we focus on the case where the frequency of small jumps is particularly high, meaning that the Blumenthal-Getoor index is larger than one. |
