1. Averina T. A., Artemev S. S., "A new family of numerical methods for solving stochastic differential equations", Soviet. Math. Dokl.,33(3) (1986) 736-738.## 2. Bates David S., "Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche mark options", The Review of Financial Studies, 9(1) (1996) 69-107. ## 3. Belomestny Denis, Nagapetyan, Tigran. "Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs", Bernoulli, 23(2) (2017) 927-950. ## 4. Bruti-Liberati Nicola, Platen Eckhard., "On weak predictor-corrector schemes for jump-diffusion processes in finance", Quantitative Finance Resaerch Center (2006). ## 5. Burrage Kevin, Burrage P. M., "High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations", Applied Numerical Mathematics, 22 (1) (1996) 81-102. ## 6. Costabile Massimo, Leccadito Arturo, Massabó Ivar, Russo Emilio, "Option pricing under regime-switching jump-diffusion models", Journal of Computational and Applied Mathematics, 256 (2014) 152-167. ## 7. Drummond I. T., Hoch A., Horgan R. R., "Numerical integration of stochastic differential equations with variable diffusivity", Journal of Physics A: Mathematical and General, 19 (18) (1986) 3871-3881. ## 8. Giles Michael B., Lukasz Szpruch, "Antithetic multilevel Monte-Carlo estimation for multi-dimensional SDEs without Lévy area simulation", The Annals of Applied Probability, 24 (4) (2014) 1585-1620. ## 9. Giles Michael B., "Multilevel Monte-Carlo path simulation", Operations Research, 56 (3) (2008) 607-617. 10. Giles Michael B., Higham Desmond J., Mao Xuerong, "Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff", Finance and Stochastics, 13 (3) (2009) 403-413. ## 11. Kloeden Peter E., Platen Eckhard, "Numerical solution of stochastic differential equations", volume 23 of Applications of Mathematics (New York) Springer-Verlag, Corrected Third Printing (1999). ## 12. Kloeden Peter E., Platen Eckhard, Hofmann N., "Extrapolation methods for the weak approximation of Itô diffusions", SIAM journal on numerical analysis, 32 (5) (1995) 1519-1534. ## 13.Kunita Hiroshi, "Stochastic Flows and Stochastic Differential Equations", Vol. 24, Cambridge university press (1997). ## 14. Marxen Henning, "The multilevel Monte-Carlo method used on a Lévy driven SDE", Monte-Carlo Methods and Applications, 16 (2) (2010) 167-190. ## 15. Milstein Grigorii N., "Numerical integration of stochastic differential equations", Volume 313 of Springer Science & Business Media (1994). ## 16. Mikulevičius Remigijus, Platen Eckhard, "Time discrete Taylor approximations for Itô processes with jump component", Mathematische Nachrichten, 138 (1) (1988) 93-104. ## 17. Ninomiya Syoiti, Victoir Nicolas, "Weak approximation of stochastic differential equations and application to derivative pricing", Applied Mathematical Finance, 15 (2) (2008) 107-121. ## 18. Platen Eckhard, Bruti-Liberati Nicola, "Numerical Solution of Stochastic Differential Equations with Jumps in Finance", volume 64 of Springer (2010). ## 19. Platen Eckhard, Rebolledo Rolando, "Weak convergence of semimartingales and discretisation methods. Stochastic Processes and their Applications", 20 (1) (1985) 41-58. ## 20. Protter Philip, Talay Denis, "The Euler scheme for Lévy driven stochastic differential equations", The Annals of Probability, 25 (1) (1997) 393-423. ## 21. Siopacha Maria, Teichmann Josef, "Weak and strong Taylor methods for numerical solutions of stochastic differential equations", Quantitative Finance, 11 (4) (2011) 517-528. 22. Xia Yuan, Giles Michael B., "Multilevel path simulation for jump-diffusion SDEs", Monte-Carlo, and Quasi Monte-Carlo Methods 2010, Springer, Berlin, Heidelberg (2012) 695-708. ##