Sign up ×
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.

Weak schemes, such as Ninomiya-Victoir or Ninomiya-Ninomiya, are typically used for discretization of stochastic volatility models such as the Heston Model.

Can anyone familiar with Cubature on Wiener Spaces explain why (i.e. with a detailed proof or a reference) these weak schemes can be seen as a Cubature scheme over Wiener Spaces?

share|improve this question
You may try asking this question on, it seems to be math-heavy enough. – quant_dev Feb 8 '11 at 22:19
Well I 'm affraid that even this is "heavy math" the aim of the forum (in my opinion) is to address this kind of question. MO is more a "pure" math and don't want to pollute it with applicable themes such as Cubature methods in Finance. Regards – TheBridge Feb 9 '11 at 12:31
This is certainly on-topic here; it may just be that we don't have enough of an appropriate user-base yet. – Shane Feb 14 '11 at 14:50
@stonybrooknick : thank's that really helps. Why didn't I thought about that before ?? – TheBridge Dec 9 '11 at 11:16
@ vanguard2k : Yes it is, I think I know now what to prove but I am just too lazy to try to prove it. But if you are willing to do it, I would be delighted to read your attempt. As an indication about what is needed is to prove that moments of the Ninomiya-Victoir scheme matches the moments ot the stochastic iterative (stratanovitch)-integrals. Best regards – TheBridge Oct 4 '12 at 12:02

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.