What you should know about simulation and derivatives

DOI10.1002/nav.20313zbMath1155.90454OpenAlexW2054836987MaRDI QIDQ3612294

Michael C. Fu

Publication date: 3 March 2009

Published in: Naval Research Logistics (NRL) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/nav.20313

zbMATH Keywords

Malliavin calculusMonte Carlo simulationderivativesperturbation analysisstochastic simulationweak derivativesgradient estimationscore function methodlikelihood ratio methodfinancial greeks

Mathematics Subject Classification ID

Related Items (10)

Efficient price sensitivity estimation of financial derivatives by weak derivatives ⋮ Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo ⋮ Regression Models Augmented with Direct Stochastic Gradient Estimators ⋮ Sensitivity analysis of ranked data: from order statistics to quantiles ⋮ Bayesian Stochastic Gradient Descent for Stochastic Optimization with Streaming Input Data ⋮ Unnamed Item ⋮ Insurance Portfolio Risk Retention ⋮ Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation ⋮ A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters ⋮ Gradient Extrapolated Stochastic Kriging

Uses Software

• UMDES

Cites Work

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