scientific article
From MaRDI portal
Publication:3386773
No author found.
Publication date: 7 January 2021
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
simulationvarianceinfinitesimal perturbation analysislikelihood ratio methodstochastic derivative estimation
Related Items (7)
A New Likelihood Ratio Method for Training Artificial Neural Networks ⋮ Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning ⋮ Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient ⋮ On comparison of steady-state infinitesimal perturbation analysis and likelihood ratio derivative estimates ⋮ Copula sensitivity analysis for portfolio credit derivatives ⋮ On the optimal design of the randomized unbiased Monte Carlo estimators ⋮ Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Algebraic structure of some stochastic discrete event systems, with applications
- Variance properties of sample path derivatives of parametric random variables
- Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
- Optimisation of a single-component maintenance system: A smoothed perturbation analysis approach
- Sensitivity estimation for Gaussian systems
- Malliavin Greeks without Malliavin calculus
- Stochastic simulation: Algorithms and analysis
- A Measure-Valued Differentiation Approach to Sensitivities of Quantiles
- Sensitivity Analysis for Monte Carlo Simulation of Option Pricing
- American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
- Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo
- Efficient Design and Sensitivity Analysis of Control Charts Using Monte Carlo Simulation
- Conditional Monte Carlo Estimation of Quantile Sensitivities
- Weak Differentiability of Product Measures
- Importance Sampling for Option Greeks with Discontinuous Payoffs
- A Unified View of the IPA, SF, and LR Gradient Estimation Techniques
- Introduction to Discrete Event Systems
- What you should know about simulation and derivatives
- Smoothed (conditional) perturbation analysis of discrete event dynamical systems
- Perturbation Analysis Gives Strongly Consistent Sensitivity Estimates for the M/G/1 Queue
- Simulating Stable Stochastic Systems: III. Regenerative Processes and Discrete-Event Simulations
- Sample Path Derivatives for (s, S) Inventory Systems
- Estimating Security Price Derivatives Using Simulation
- Note: On the Interchange of Derivative and Expectation for Likelihood Ratio Derivative Estimators
- A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters
- Estimating Quantile Sensitivities
- Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein–Uhlenbeck stochastic volatility models
- Second Derivative Sample Path Estimators for the GI/G/m Queue
- Applications of Malliavin calculus to Monte-Carlo methods in finance. II
This page was built for publication:
