{"id":"https://openalex.org/W4396586240","doi":"https://doi.org/10.1137/23m1595102","title":"Exact Simulation of the Multifactor Ornstein\u2013Uhlenbeck Driven Stochastic Volatility Model","display_name":"Exact Simulation of the Multifactor Ornstein\u2013Uhlenbeck Driven Stochastic Volatility Model","publication_year":2024,"publication_date":"2024-05-02","ids":{"openalex":"https://openalex.org/W4396586240","doi":"https://doi.org/10.1137/23m1595102"},"language":"en","primary_location":{"id":"doi:10.1137/23m1595102","is_oa":false,"landing_page_url":"https://doi.org/10.1137/23m1595102","pdf_url":null,"source":{"id":"https://openalex.org/S165512578","display_name":"SIAM Journal on Scientific Computing","issn_l":"1064-8275","issn":["1064-8275","1095-7197"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Scientific Computing","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5032139382","display_name":"Riccardo Brignone","orcid":"https://orcid.org/0000-0001-8282-8036"},"institutions":[{"id":"https://openalex.org/I161046081","display_name":"University of Freiburg","ror":"https://ror.org/0245cg223","country_code":"DE","type":"education","lineage":["https://openalex.org/I161046081"]}],"countries":["DE"],"is_corresponding":true,"raw_author_name":"Riccardo Brignone","raw_affiliation_strings":["Department of Quantitative Finance, Institute for Economic Research, University of Freiburg, 79098, Freiburg i. Br., Germany"],"raw_orcid":"https://orcid.org/0000-0001-8282-8036","affiliations":[{"raw_affiliation_string":"Department of Quantitative Finance, Institute for Economic Research, University of Freiburg, 79098, Freiburg i. Br., Germany","institution_ids":["https://openalex.org/I161046081"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5032139382"],"corresponding_institution_ids":["https://openalex.org/I161046081"],"apc_list":null,"apc_paid":null,"fwci":1.0381,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.75987725,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":91,"max":98},"biblio":{"volume":"46","issue":"3","first_page":"A1441","last_page":"A1460"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9916999936103821,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9624000191688538,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7670924663543701},{"id":"https://openalex.org/keywords/ornstein\u2013uhlenbeck-process","display_name":"Ornstein\u2013Uhlenbeck process","score":0.7549797296524048},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.6308839321136475},{"id":"https://openalex.org/keywords/sabr-volatility-model","display_name":"SABR volatility model","score":0.5352630615234375},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5109321475028992},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4415448307991028},{"id":"https://openalex.org/keywords/constant-elasticity-of-variance-model","display_name":"Constant elasticity of variance model","score":0.4327370226383209},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.42193302512168884},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.3260610103607178},{"id":"https://openalex.org/keywords/stochastic-process","display_name":"Stochastic process","score":0.3156276345252991},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.16786286234855652}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7670924663543701},{"id":"https://openalex.org/C31634936","wikidata":"https://www.wikidata.org/wiki/Q1757587","display_name":"Ornstein\u2013Uhlenbeck process","level":3,"score":0.7549797296524048},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.6308839321136475},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.5352630615234375},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5109321475028992},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4415448307991028},{"id":"https://openalex.org/C64133820","wikidata":"https://www.wikidata.org/wiki/Q5163651","display_name":"Constant elasticity of variance model","level":5,"score":0.4327370226383209},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.42193302512168884},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.3260610103607178},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.3156276345252991},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.16786286234855652},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1137/23m1595102","is_oa":false,"landing_page_url":"https://doi.org/10.1137/23m1595102","pdf_url":null,"source":{"id":"https://openalex.org/S165512578","display_name":"SIAM Journal on Scientific Computing","issn_l":"1064-8275","issn":["1064-8275","1095-7197"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Scientific Computing","raw_type":"journal-article"},{"id":"pmh:oai:boa.unimib.it:10281/496379","is_oa":false,"landing_page_url":"https://hdl.handle.net/10281/496379","pdf_url":null,"source":{"id":"https://openalex.org/S4306401259","display_name":"BOA (University of Milano-Bicocca)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I66752286","host_organization_name":"University of Milano-Bicocca","host_organization_lineage":["https://openalex.org/I66752286"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":27,"referenced_works":["https://openalex.org/W1487597787","https://openalex.org/W1533263385","https://openalex.org/W1645061396","https://openalex.org/W1991033511","https://openalex.org/W2065242466","https://openalex.org/W2079491906","https://openalex.org/W2094206697","https://openalex.org/W2106198262","https://openalex.org/W2142287785","https://openalex.org/W2157858527","https://openalex.org/W2162993787","https://openalex.org/W2167698785","https://openalex.org/W2411806651","https://openalex.org/W2734051810","https://openalex.org/W2902981304","https://openalex.org/W2963319432","https://openalex.org/W3108265025","https://openalex.org/W3122434727","https://openalex.org/W3122539433","https://openalex.org/W3125505968","https://openalex.org/W3138447687","https://openalex.org/W3193853914","https://openalex.org/W4207032894","https://openalex.org/W4280533127","https://openalex.org/W4313201487","https://openalex.org/W4313679358","https://openalex.org/W4317621272"],"related_works":["https://openalex.org/W3033857466","https://openalex.org/W3123418236","https://openalex.org/W2886095353","https://openalex.org/W1601881750","https://openalex.org/W3124791345","https://openalex.org/W4210940217","https://openalex.org/W2941697141","https://openalex.org/W2013221838","https://openalex.org/W3093796783","https://openalex.org/W3123155432"],"abstract_inverted_index":{"The":[0],"classic":[1],"exact":[2,77],"simulation":[3,78],"scheme":[4,79],"for":[5,14,53,80,98],"the":[6,15,22,57,68,81,103,109,120,129,137],"Ornstein-Uhlenbeck":[7,83],"driven":[8,84],"stochastic":[9,85],"volatility":[10,17,55,86,123,142,152],"model":[11,87],"is":[12,59,89,112,132,144],"designed":[13],"single":[16],"factor":[18,143],"case.":[19],"Extension":[20],"to":[21,50,91,94,108],"multifactor":[23,82],"case":[24],"results":[25,126],"in":[26,45,106],"a":[27,75],"cumbersome":[28],"procedure":[29],"requiring":[30],"multiple":[31],"numerical":[32,42],"inversions":[33],"of":[34,67,102,119,122],"Laplace":[35],"transforms":[36],"and":[37,96,146],"subsequent":[38],"random":[39],"sampling":[40],"through":[41],"methods,":[43],"resulting":[44],"it":[46],"being":[47,158],"perceptively":[48],"slow":[49],"run.":[51],"Moreover,":[52],"each":[54],"factor,":[56],"error":[58],"controlled":[60,113],"by":[61,114],"two":[62],"parameters,":[63],"ensuring":[64],"difficult":[65],"control":[66,101],"bias.":[69],"In":[70],"this":[71],"paper,":[72],"we":[73],"propose":[74],"new":[76],"that":[88,128],"easier":[90],"implement,":[92],"faster":[93,135,149],"run,":[95],"allows":[97],"an":[99],"improved":[100],"error,":[104],"which,":[105],"contrast":[107],"existing":[110],"method,":[111],"only":[115],"one":[116,141],"parameter,":[117],"regardless":[118],"number":[121],"factors.":[124],"Numerical":[125],"show":[127],"proposed":[130],"approach":[131,139],"three":[133],"times":[134,148],"than":[136],"original":[138],"when":[140,150],"considered":[145],"11":[147],"four":[151],"factors":[153],"are":[154],"considered,":[155],"while":[156],"still":[157],"theoretically":[159],"exact.":[160]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}