Calibration of financial models using quasi-Monte Carlo

DOI10.1515/MCMA.2011.004zbMath1218.91169MaRDI QIDQ3087042

Heidrun Zellinger, Gunther Leobacher, Andreas Eichler

Publication date: 2 August 2011

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

zbMATH Keywords

optimizationparameter estimationMonte Carlocalibrationquasi-Monte Carlo

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Credit risk (91G40)

Related Items (1)

Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1

Cites Work

• On the tractability of the Brownian bridge algorithm
• Adjoint-based Monte Carlo calibration of financial methods
• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
• Smoothness and dimension reduction in quasi-Monte Carlo methods
• A Direct Search Algorithm for Optimization with Noisy Function Evaluations
• NOTES ON EXACT AND SEMI-EXACT LÉVY MODELS FOR THE VALUATION OF CDOs
• Path Generation for Quasi-Monte Carlo Simulation of Mortgage-Backed Securities
• A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
• Walsh Spaces Containing Smooth Functions and Quasi–Monte Carlo Rules of Arbitrary High Order
• Quasi-Monte Carlo Methods in Numerical Finance
• Toward real-time pricing of complex financial derivatives
• LÉVY SIMPLE STRUCTURAL MODELS
• A Convenient Method for Generating Normal Variables
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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