Numerical Solution of Stochastic Differential Equations With Jumps in Finance

Numerical Solution of Stochastic Differential
Equations with Jumps in Finance
Eckhard Platen
School of Finance and Economics and School of Mathematical Sciences
University of Technology, Sydney
Kloeden, P.E. & Pl, E.: Numerical Solution of Stochastic Differential Equations
Springer, Applications of Mathematics 23 (1992,1995,1999).
Pl, E. & Heath, D.: A Benchmark Approach to Quantitative Finance, Springer Finance (2010).
Pl, E. & Bruti-Niberati, N.: Numerical Solution of SDEs with Jumps in Finance,
Springer, Stochastic Modelling and Applied Probability 64 (2010).
Jump-Diffusion Multi-Factor Models
Björk, Kabanov & Runggaldier (1997)

Øksendal & Sulem (2005)
• Markovian
• explicit transition densities in special cases
• benchmark framework
• discrete time approximations
• suitable for simulation
• Markov chain approximations
c
Copyright E. Platen SDE Jump MC 1
Pathwise Approximations:
• scenario simulation of entire markets
• testing statistical techniques on simulated trajectories
• filtering hidden state variables

Pl. & Runggaldier (2005, 2007)
• hedge simulation
• dynamic financial analysis
• extreme value simulation
• stress testing
=⇒ higher order strong schemes
predictor-corrector methods
c
Strong Convergence
• Applications: scenario analysis, filtering and hedge simulation
• strong order γ if
r
2
E XT − YN∆ ≤ K ∆γ

εs (∆) =
c
Probability Approximations:
• derivative prices
• sensitivities
• expected utilities
• portfolio selection
• risk measures
• long term risk management
=⇒ Monte Carlo simulation, higher order weak schemes,

predictor-corrector,
variance reduction, Quasi Monte Carlo,
or Markov chain approximations, lattice methods
c
Weak Convergence
• Applications: derivative pricing, utilities, risk measures
• weak order β if
εw (∆) = |E(g(XT )) − E(g(YN∆ ))| ≤ K∆β
c
Essential Requirements:
• parsimonious models
• long time horizons
• respect no-arbitrage in discrete time approximation
• numerically stable methods
• efficient methods for high-dimensional models
• higher order schemes
c
Continuous and Event Driven Risk
• Wiener processes W k , k ∈ {1, 2, . . ., m}
• counting processes pk
intensity hk
jump martingale q k
1
k −2
dWtm+k dqtk dpkt hkt

= = − dt ht
k ∈ {1, 2, . . . , d−m}
W t = (Wt1 , . . . , Wtm , qt1 , . . . , qtd−m )⊤
c
Primary Security Accounts
d
!
dStj = St−
j
ajt dt + bj,k
X
k
t dWt
k=1
Assumption 1
q
bj,k
t ≥− hk−m
t
k ∈ {m + 1, . . . , d}.
Assumption 2
Generalized volatility matrix bt = [bj,k d

t ]j,k=1 invertible.
c
• market price of risk
θ t = (θt1 , . . . , θtd )⊤ = b−1

t [at − rt 1]
• primary security account
d
!
dStj = St−
j
bj,k
X
k k
rt dt + t (θt dt + dWt )
k=1
• portfolio
d
δtj dStj
X
dStδ =
j=0
c
• fraction
j Stj
πδ,t = δtj
Stδ
• portfolio
n o
dStδ = St−
δ
rt dt + π ⊤
δ,t− bt (θ t dt + dW t )
c
Assumption 3 q
hk−m
t > θtk
=⇒ numeraire portfolio (NP) exists

• generalized NP volatility


 θtk for k ∈ {1, 2, . . . , m}
ckt =
θtk

 k−m − 1
for k ∈ {m + 1, . . . , d}
1−θtk (ht ) 2
• NP fractions
⊤
π δ∗ ,t = (πδ1∗ ,t , . . . , πδd∗ ,t )⊤ = c⊤
t b−1
t
c
• Numeraire Portfolio - Benchmark

δ∗
dStδ∗ = St− rt dt + c⊤
t (θ t dt + dW t )
• optimal growth rate

m
1 X
gtδ∗ = rt + (θtk )2
2 k=1
   
d
θtk θtk
hk−m
X
− t
ln 1 + q + q 
k=m+1 hk−m
t − θtk hk−m
t
c
• benchmarked portfolio
Stδ
Ŝtδ =
Stδ∗
Theorem 4 Any nonnegative benchmarked portfolio Ŝ δ is an
(A, P )-supermartingale, that is,
Ŝtδ ≥ Et (ŜTδ )
0≤t≤T <∞
=⇒ no strong arbitrage
Pl. & Heath (2010)
c
Multi-Factor Models
model under benchmark approach mainly:
• benchmarked primary security accounts
Stj
Ŝtj =
Stδ∗
j ∈ {0, 1, . . . , d}
supermartingales, often SDE driftless,

(local martingales, sometimes martingales)
c
model savings account
Z t
St0 = exp rs ds
0
=⇒ NP
St0
Stδ∗ =
Ŝt0
=⇒ stock
Stj = Ŝtj Stδ∗
model additionally dividend rates
and foreign interest rates
c
Example
• benchmarked security:
p
dŜt = Ŝt− Vt dWtS + dqt
• squared volatility:
• Bates model
p
dVt = ξ(η − Vt ) dt + q Vt dWtV
3
• 2
model
s
1 1 1

d =ξ η− dt + q dWtV
Vt Vt Vt
c
3
2.5
1.5
0.5
0
0 5 10 15 20
time
Figure 1: Simulated benchmarked primary security accounts.
c
10
0
0 5 10 15 20
time
Figure 2: Simulated primary security accounts.
c
4.5
GOP
EWI
4
3.5
2.5
1.5
0.5
0 5 10 15 20
time
Figure 3: Naive Diversification: NP and EWI for d = 50.
c
60
50
40
30
20
10
0
0 5 9 14 18 23 27 32
Figure 4: Benchmarked primary security accounts MMM.
c
450
400
350
300
250
200
150
100
50
0
0 5 9 14 18 23 27 32
Figure 5: Primary security accounts under the MMM.
c
100
EWI
90 GOP
80
70
60
50
40
30
20
10
0
0 5 9 14 18 23 27 32
Figure 6: NP and EWI.
c
• fair security
benchmarked security martingale ⇐⇒ fair
• minimal replicating portfolio
fair nonnegative portfolio S δ with Sτδ = Hτ
=⇒ minimal price
• real world pricing formula
Hτ

VHτ (t) = Stδ∗ Et
Sτδ∗
No need for equivalent risk neutral probability measure!
c
Fair Hedging
• benchmarked fair portfolio
Hτ

Ŝtδ = Et
Sτδ∗
=⇒ minimal price
• martingale representation
d Z τ
Hτ Hτ
X
= Et + xkHτ (s) dWsk + MHτ (t)
Sτδ∗ Sτδ∗ k=1 t
MHτ - martingale (when pooled ⇒ vanishing)

MHτ and W k orthogonal
Föllmer & Schweizer (1991), Du & Pl. (2011)
c
Numerical Solution of SDEs
Kloeden & Pl. (1999)

Milstein (1995)
Kloeden, Pl. & Schurz (2003)
Jäckel (2002)
Glasserman (2004)
Pl. & Bruti-Liberati (2010)
• major problem:
propagation of errors during simulation
c
Simulation of SDEs with Jumps
• strong schemes (paths)
exact simulation
Taylor (Wagner-Pl. expansion)
explicit
derivative-free
predictor-corrector
implicit, balanced implicit
• weak schemes (probabilities)
Taylor (Wagner-Pl. expansion)
simplified
explicit
derivative-free
predictor-corrector, implicit
c
Jump-Adapted Time Discretization
regular
t0 t1 t2 t3 = T
r r jump times
τ1 τ2
r r jump-adapted
t0 t1 t2 t3 t4 t5 = T
c
• intensity of jump process
– regular schemes =⇒ high intensity
– jump-adapted schemes =⇒ low intensity
c
SDE with Jumps
dXt = a(t, Xt )dt + b(t, Xt )dWt + c(t−, Xt− ) dpt
X0 ∈ ℜ d
• pt = Nt : Poisson process, intensity λ < ∞

PNt
• pt = i=1 (ξi − 1): compound Poisson, ξi i.i.d r.v.
• Poisson random measure
c
• time discretization
tn = n∆
• discrete time approximation
∆
Yn+1 = Yn∆ + a(Yn∆ )∆ + b(Yn∆ )∆Wn + c(Yn∆ )∆pn
c
Literature on Strong Schemes with Jumps
• Pl (1982), Mikulevicius & Pl (1988)
=⇒ γ ∈ {0.5, 1, . . .} Taylor schemes and jump-adapted
• Maghsoodi (1996, 1998) =⇒ strong schemes γ ≤ 1.5
• Jacod & Protter (1998) =⇒ Euler scheme for semimartingales
• Gardoǹ (2004) =⇒ γ ∈ {0.5, 1, . . .} strong schemes
• Higham & Kloeden (2005) =⇒ implicit Euler scheme
• Bruti-Liberati & Pl (2007) =⇒ γ ∈ {0.5, 1, . . .}

explicit, implicit, derivative-free, predictor-corrector
c
Euler Scheme
• Euler scheme
Yn+1 = Yn + a(Yn )∆ + b(Yn )∆Wn + c(Yn )∆pn
where
∆Wn ∼ N (0, ∆) and ∆pn = Ntn+1 −Ntn ∼ P oiss(λ ∆)
• strong order γ = 0.5
c
Strong Taylor Scheme
Wagner-Platen expansion (strong order γ = 1.0) =⇒
Yn+1 = Yn + a(Yn )∆ + b(Yn )∆Wn + c(Yn )∆pn + b(Yn )b′ (Yn ) I(1,1)
+ b(Yn ) c′ (Yn ) I(1,−1) + {b(Yn + c(Yn )) − b(Yn )} I(−1,1)
+ {c (Yn + c(Yn )) − c(Yn )} I(−1,−1)
with
1
I(1,1) = 1
2
{(∆Wn ) 2
− ∆}, I(−1,−1) = {(∆pn )2 − ∆pn }
2
PN (tn+1 )
I(1,−1) = i=N (tn )+1 Wτi − ∆pn Wtn , I(−1,1) = ∆pn ∆Wn − I(1,−1)
• simulation jump times τi : Wτi =⇒ I(1,−1) and I(−1,1)

• Computational effort heavily dependent on intensity λ
c
Derivative-Free Strong Schemes
avoid computation of derivatives
order 1.0 derivative-free strong scheme
c
• implicit methods
Talay (1982)
Klauder & Petersen (1985)
Milstein (1988)
Hernandez & Spigler(1992, 1993)
Saito & Mitsui(1993a, 1993b)
Kloeden & Pl. (1992, 1999)
Milstein, Pl. & Schurz (1998)
Higham (2000)
Alcock & Burrage (2006)
• solve algebraic equation
c
• ad hoc attempts lead to explosions
• balanced implicit methods

Alcock & Burrage (2006)
c
Implicit Strong Schemes
wide stability regions
implicit Euler scheme
order 1.0 implicit strong Taylor scheme
c
Predictor-Corrector Euler Scheme
• corrector

Yn+1 = Yn + θ āη (Ȳn+1 ) + (1 − θ) āη (Yn ) ∆n
p(tn+1 )
X
+ η b(Ȳn+1 ) + (1 − η) b(Yn ) ∆Wn + c (ξi )
i=p(tn )+1
āη = a − η b b′
• predictor
p(tn+1 )
X
Ȳn+1 = Yn + a(Yn ) ∆n + b(Yn ) ∆Wn + c (ξi )
i=p(tn )+1
θ, η ∈ [0, 1] degree of implicitness
c
Jump-Adapted Strong Approximations
jump-adapted time discretisation

⇓
jump times included in time discretisation
• jump-adapted Euler scheme
Ytn+1 − = Ytn + a(Ytn )∆tn + b(Ytn )∆Wtn
and
Ytn+1 = Ytn+1 − + c(Ytn+1 − ) ∆pn
• strong order γ = 0.5
c
Merton SDE : µ = 0.05, σ = 0.2, ψ = −0.2, λ = 10, X0 = 1, T = 1
1
0.8
0.6
X
0.4
0.2
0
0 0.2 0.4 0.6 0.8 1
T
Figure 7: Plot of a jump-diffusion path.
c
0.0005
0.00025
-0.00025
Error
-0.0005
-0.00075
-0.001
-0.00125
0 0.2 0.4 0.6 0.8 1

T
Figure 8: Plot of the strong error for Euler(red) and 1.0 Taylor(blue) scheme.
c
Merton SDE : µ = −0.05, σ = 0.1, λ = 1, X0 = 1, T = 0.5
-10
-15
Log2 Error
-20
Euler
EulerJA
1Taylor
-25 1TaylorJA
15TaylorJA
-10 -8 -6 -4 -2 0
Log2 dt
Figure 9: Log-log plot of strong error versus time step size.
c
Literature on Weak Schemes with Jumps
• Mikulevicius & Pl (1991)

=⇒ jump-adapted order β ∈ {1, 2 . . .} weak schemes
• Liu & Li (2000) =⇒ order β ∈ {1, 2 . . .} weak Taylor, extrapo-

lation and simplified schemes
• Kubilius & Pl (2002) and Glasserman & Merener (2003)

=⇒ jump-adapted Euler with weaker assumptions on coefficients
• Bruti-Liberati & Pl (2006) =⇒ jump-adapted order β ∈ {1, 2 . . .}

derivative-free, implicit and predictor-corrector schemes
c
Simplified Euler Scheme
• Euler scheme =⇒ weak order β = 1
• simplified Euler scheme
Yn+1 = Yn + a(Yn )∆ + b(Yn )∆Ŵn + c(Yn ) (ξ̂n − 1)∆p̂n
• if ∆Ŵn and ∆p̂n match the first 3 moments of ∆Wn and ∆pn up to
an O(∆2 ) error =⇒ weak order β = 1
•
√ 1
P (∆W̃n = ± ∆) =
2
c
Jump-Adapted Taylor Approximations
• jump-adapted Euler scheme =⇒ weak order β = 1
• jump-adapted order 2 weak Taylor scheme
b b′ 2

Ytn+1 − = Ytn + a∆tn + b∆Wtn + (∆Wtn ) − ∆tn + a′ b ∆Ztn
2
1 1 ′′ 2 1 ′′ 2

′ 2 ′
+ a a + a b ∆tn + a b + b b {∆Wtn ∆tn − ∆Ztn }
2 2 2
and
Ytn+1 = Ytn+1 − + c(Ytn+1 − ) ∆pn
• weak order β = 2 (can be simplified and made derivative free)
c
Predictor-Corrector Schemes
• predictor-corrector =⇒ numerical stability and efficiency
• jump-adapted predictor-corrector Euler scheme

1n o
Ytn+1 − = Ytn + a(Ȳtn+1 − ) + a ∆tn + b∆Wtn
2
with predictor
Ȳtn+1 − = Ytn + a∆tn + b∆Wtn
• weak order β = 1
c
3
EulerJA
ImplEulerJA
2
PredCorrJA
1
Log2 Error
-1
-2
-5 -4 -3 -2 -1
Log2 dt
Figure 10: Log-log plot of weak error versus time step size.
c
Regular Approximations
• higher order schemes : time, Wiener and Poisson multiple integrals
• random jump size difficult to handle
• higher order schemes: computational effort dependent on intensity
c
Numerical Stability
• roundoff and truncation errors
• propagation of errors
• numerical stability priority over higher order
c
• specially designed test equations
Hernandez & Spigler (1992, 1993)
Milstein (1995)
Kloeden & Pl. (1999)
Saito & Mitsui(1993a, 1993b, 1996)
Hofmann & Pl. (1994, 1996)
Higham (2000)
c
• linear test dynamics
n p o
Xt = X0 exp (1 − α) λ t + α |λ| Wt
α, λ ∈ ℜ
=⇒

P lim Xt = 0 = 1 ⇐⇒ (1 − α)λ < 0
t→∞
c
• linear Itô SDE
3

p
dXt = 1− α λ Xt dt + α |λ| Xt dWt
2
• corresponding Stratonovich SDE
p
dXt = (1 − α) λ Xt dt + α |λ| Xt ◦ dWt
• α=0 no randomness
2
• α= 3
Itô SDE no drift =⇒ martingale
• α=1 Stratonovich SDE no drift
c
Definition 5 Y = {Yt , t ≥ 0} is called asymptotically stable if

P lim |Yt | = 0 = 1.
t→∞
impact of perturbations declines asymptotically over time
c
• stability region Γ
those pairs (λ∆, α) ∈ (−∞, 0) × [0, 1) for which approximation Y

asymptotically stable
c
• transfer function

Yn+1
Y = Gn+1 (λ ∆, α)

n
Y asymptotically stable ⇐⇒
E(ln(Gn+1 (λ ∆, α))) < 0
Higham (2000)
c
• Euler scheme
Yn+1 = Yn + a(Yn ) ∆ + b(Yn ) ∆Wn

3

p
Gn+1 (λ ∆, α) = 1 + 1 − α λ ∆ + |α λ| ∆Wn

2
∆Wn ∼ N (0, ∆)
c
Figure 11: A-stability region for the Euler scheme
c
• semi-drift-implicit predictor-corrector Euler method
1
Yn+1 = Yn + a(Ȳn+1 ) + a(Yn ) ∆ + b(Yn ) ∆Wn
2
Ȳn+1 = Yn + a(Yn ) ∆ + b(Yn ) ∆Wn

3 1 3

Gn+1 (λ ∆, α) = 1 + λ ∆ 1 − α 1+ λ∆ 1 − α
2 2 2
p
p
+ −α λ ∆Wn + −α λ ∆Wn
c
Figure 12: -stability region for semi-drift-implicit predictor-corrector Euler
method
c
Figure 13: A-stability region for the predictor-corrector Euler method with
θ = 0 and η = 12
c
Figure 14: A-stability region for the symmetric predictor-corrector Euler
method
c
p-Stability
Pl. & Shi (2008)
Definition 6 For p > 0 a process Y = {Yt , t > 0} is called p-stable

if
lim E(|Yt |p ) = 0.
t→∞
1
For α ∈ [0, 1+p/2
) and λ < 0 test SDE is p-stable.
c
• Stability region those triplets (λ∆, α, p) for which Y is p-stable.
c
For λ ∆ < 0, α ∈ [0, 1) and p > 0 Y p-stable ⇐⇒
E((Gn+1 (λ ∆, α))p ) < 1
• for p > 0
=⇒
1
E(ln(Gn+1 (λ ∆, α))) ≤ E((Gn+1 (λ ∆, α))p − 1) < 0
p
=⇒ asymptotically stable
c
0
-2
ΛD-4
-6
-8
-10
2
1.5
p1
0.5
0
0
0.2
0.4
Α 0.6
0.8
1
Figure 15: Stability region for the Euler scheme
c
0
-2
ΛD-4
-6
-8
-10
2
1.5
p1
0.5
0
0
0.2
0.4
Α 0.6
0.8
1
Figure 16: Stability region for semi-drift-implicit predictor-corrector Euler

method
c
0
-2
ΛD-4
-6
-8
-10
2
1.5
p1
0.5
0
0
0.2
0.4
Α 0.6
0.8
1
Figure 17: Stability region for the predictor-corrector Euler method with
θ = 0 and η = 12
c
Stability of Some Implicit Methods
• semi-drift implicit Euler scheme
1
Yn+1 = Yn + (a(Yn+1 ) + a(Yn ))∆ + b(Yn )∆Wn
2
• full-drift implicit Euler scheme
Yn+1 = Yn + a(Yn+1 )∆ + b(Yn )∆Wn
solve algebraic equation
c
0
-2
ΛD-4
-6
-8
-10
2
1.5
p1
0.5
0
0
0.2
0.4
Α 0.6
0.8
1
Figure 18: Stability region for semi-drift implicit Euler method
c
0
-2
ΛD-4
-6
-8
-10
2
1.5
p1
0.5
0
0
0.2
0.4
Α 0.6
0.8
1
Figure 19: Stability region for full-drift implicit Euler method
c
• balanced implicit Euler method
3

p
Yn+1 = Yn + 1 − α λYn ∆+ α|λ|Yn ∆Wn +c|∆Wn |(Yn −Yn+1 )
2
c
0
-2
ΛD-4
-6
-8
-10
2
1.5
p1
0.5
0
0
0.2
0.4
Α 0.6
0.8
1
Figure 20: Stability region for a balanced implicit Euler method
c
0
-2
ΛD-4
-6
-8
-10
2
1.5
p1
0.5
0
0
0.2
0.4
Α 0.6
0.8
1
Figure 21: Stability region for the simplified symmetric Euler method
c
0
-2
ΛD-4
-6
-8
-10
2
1.5
p1
0.5
0
0
0.2
0.4
Α 0.6
0.8
1
Figure 22: Stability region for the simplified symmetric implicit Euler
Scheme
c
0
-2
ΛD-4
-6
-8
-10
2
1.5
p1
0.5
0
0
0.2
0.4
Α 0.6
0.8
1
Figure 23: Stability region for the simplified fully implicit Euler Scheme
c
Variance Reduction via Integral Representations
Heath & Platen (2002)
The HP Variance Reduced Estimator
• SDE
m
dXts,x = a(t, Xts,x ) dt + bj (t, Xts,x ) dWtj
X
j=1
c
d
0 ∂f (t, x) X
i ∂f (t, x)
L f (t, x) = + a (t, x)
∂t i=1
∂xi
d m
1 X X i,j k,j ∂ 2 f (t, x)
+ b (t, x) b (t, x)
2 i,k=1 j=1
∂xi ∂xk
c
h(τ, Xτ0,x )

u(0, x) = E
ū(τ, Xτ0,x )

= E
Z τ
= ū(0, x) + E L0 ū(t, Xt0,x ) dt
0
Z T
= ū(0, x) + E 1{t<τ } L0 ū(t, Xt0,x ) dt
0
• unbiased estimator for u(0, x)

Z τ
Z̄τ = ū(0, x) + L0 ū(t, Xt0,x ) dt
0
HP estimator
c
50
40
30
20
10
0 0.1 0.2 0.3 0.4 0.5

0,x1
Figure 24: Simulated outcomes for the intrinsic value (St − K)+ , t ∈
[0, T ].
c
6.75
6.7
6.65
6.6
0 0.1 0.2 0.3 0.4 0.5

Figure 25: Simulated outcomes for the estimator Z̄t , t ∈ [0, T ].
c
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c
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Numerical Solution of Stochastic Differential Equations With Jumps in Finance

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Numerical Solution of Stochastic Differential

Equations with Jumps in Finance

Björk, Kabanov & Runggaldier (1997)

• explicit transition densities in special cases

• discrete time approximations

• suitable for simulation

• Markov chain approximations

• testing statistical techniques on simulated trajectories

• filtering hidden state variables

• dynamic financial analysis

• extreme value simulation

• Applications: scenario analysis, filtering and hedge simulation

• long term risk management

=⇒ Monte Carlo simulation, higher order weak schemes,

• Applications: derivative pricing, utilities, risk measures

εw (∆) = |E(g(XT )) − E(g(YN∆ ))| ≤ K∆β

• long time horizons

• respect no-arbitrage in discrete time approximation

• numerically stable methods

• efficient methods for high-dimensional models

• higher order schemes

• Wiener processes W k , k ∈ {1, 2, . . ., m}

W t = (Wt1 , . . . , Wtm , qt1 , . . . , qtd−m )⊤

Generalized volatility matrix bt = [bj,k d

θ t = (θt1 , . . . , θtd )⊤ = b−1

• primary security account

=⇒ numeraire portfolio (NP) exists

• optimal growth rate

Theorem 4 Any nonnegative benchmarked portfolio Ŝ δ is an

(A, P )-supermartingale, that is,

Pl. & Heath (2010)

model under benchmark approach mainly:

• benchmarked primary security accounts

supermartingales, often SDE driftless,

model additionally dividend rates

and foreign interest rates

Figure 1: Simulated benchmarked primary security accounts.

Figure 2: Simulated primary security accounts.

Figure 3: Naive Diversification: NP and EWI for d = 50.

Figure 4: Benchmarked primary security accounts MMM.

Figure 5: Primary security accounts under the MMM.

Figure 6: NP and EWI.

benchmarked security martingale ⇐⇒ fair

• minimal replicating portfolio

fair nonnegative portfolio S δ with Sτδ = Hτ

• real world pricing formula

No need for equivalent risk neutral probability measure!

MHτ - martingale (when pooled ⇒ vanishing)

Kloeden & Pl. (1999)

propagation of errors during simulation

– regular schemes =⇒ high intensity

– jump-adapted schemes =⇒ low intensity

dXt = a(t, Xt )dt + b(t, Xt )dWt + c(t−, Xt− ) dpt

• pt = Nt : Poisson process, intensity λ < ∞

• Poisson random measure

• discrete time approximation

• Pl (1982), Mikulevicius & Pl (1988)

=⇒ γ ∈ {0.5, 1, . . .} Taylor schemes and jump-adapted

• Maghsoodi (1996, 1998) =⇒ strong schemes γ ≤ 1.5

• Jacod & Protter (1998) =⇒ Euler scheme for semimartingales

• Gardoǹ (2004) =⇒ γ ∈ {0.5, 1, . . .} strong schemes

• Higham & Kloeden (2005) =⇒ implicit Euler scheme

• Bruti-Liberati & Pl (2007) =⇒ γ ∈ {0.5, 1, . . .}