Murray Pollock (University of Warwick): Jump Diffusion Barriers

In this talk we will discuss recent work extending methodology for simulating finite dimensional representations of jump diffusion sample paths over finite intervals, without discretisation error (\textit{exactly}), in such a way that the sample path can be \textit{restored} at any finite collection of time points. We demonstrate the efficacy of our approach by showing that with finite computation it is possible to determine whether or not sample paths cross various non-standard barriers.

Joint work with Adam Johansen, Gareth Roberts