scientific article; zbMATH DE number 1999206
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Publication:4433608
zbMath1038.91045MaRDI QIDQ4433608
Publication date: 2 November 2003
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
sensitivitydiscretizationMonte Carlo methodMonte Carlo simulationrisk managementAmerican optionquasi-Monte CarloEuropean optionrandom numbersample pathvariance reduction technique
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic models in economics (91B70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Economic growth models (91B62) Random number generation in numerical analysis (65C10)
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Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo ⋮ Regression Models Augmented with Direct Stochastic Gradient Estimators ⋮ ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO ⋮ Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity ⋮ Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient ⋮ Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates ⋮ Interacting particle system based estimation of reach probability of general stochastic hybrid systems ⋮ Parallel Optimized Sampling for Stochastic Equations ⋮ LEAST SQUARES MONTE CARLO CREDIT VALUE ADJUSTMENT WITH SMALL AND UNIDIRECTIONAL BIAS ⋮ Valuation of Performance‐Dependent Options ⋮ Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing ⋮ An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients ⋮ Dynamics of a stochastic delayed chemostat model with nutrient storage and Lévy jumps ⋮ Solving non-linear Kolmogorov equations in large dimensions by using deep learning: a numerical comparison of discretization schemes ⋮ Multilevel Monte Carlo Implementation for SDEs Driven by Truncated Stable Processes ⋮ Construction of a Mean Square Error Adaptive Euler–Maruyama Method With Applications in Multilevel Monte Carlo ⋮ Unbiased Simulation of Distributions with Explicitly Known Integral Transforms ⋮ Quantum speedup of Monte Carlo integration with respect to the number of dimensions and its application to finance ⋮ Analytical Approximation of Variable Annuities for Small Volatility and Small Withdrawal ⋮ The ANOVA decomposition of a non-smooth function of infinitely many variables can have every term smooth ⋮ Transmission Valuation Analysis based on Real Options with Price Spikes ⋮ Unnamed Item ⋮ STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS ⋮ SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL ⋮ VOLATILITY AND LIQUIDITY ON HIGH-FREQUENCY ELECTRICITY FUTURES MARKETS: EMPIRICAL ANALYSIS AND STOCHASTIC MODELING ⋮ On Modelling and Pricing Rainfall Derivatives with Seasonality ⋮ Algorithm 955 ⋮ A REGULARIZED FOURIER TRANSFORM APPROACH FOR VALUING OPTIONS UNDER STOCHASTIC DIVIDEND YIELDS ⋮ Unnamed Item ⋮ Approximation of bounds on mixed-level orthogonal arrays ⋮ On the approximation of infinite dimensional optimal stopping problems with application to mathematical finance ⋮ New Brownian bridge construction in quasi-Monte Carlo methods for computational finance ⋮ PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS ⋮ Randomly shifted lattice rules on the unit cube for unbounded integrands in high dimensions ⋮ The Malliavin gradient method for the calibration of stochastic dynamical models ⋮ Large deviation asymptotics and control variates for simulating large functions ⋮ PRICING AND DELTAS OF DISCRETELY-MONITORED BARRIER OPTIONS USING STRATIFIED SAMPLING ON THE HITTING-TIMES TO THE BARRIER ⋮ FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS ⋮ EXACT PRICING WITH STOCHASTIC VOLATILITY AND JUMPS ⋮ Uniform approximation of the Cox-Ingersoll-Ross process ⋮ The Role of Frolov's Cubature Formula for Functions with Bounded Mixed Derivative ⋮ An analytical formula for pricing \(m\)-th to default swaps ⋮ Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation ⋮ BETTER CONFIDENCE INTERVALS FOR IMPORTANCE SAMPLING ⋮ Likelihood ratio gradient estimation for Meixner distribution and Lévy processes ⋮ On the discretization schemes for the CIR (and Bessel squared) processes ⋮ Linear Programming and the Control of Diffusion Processes ⋮ An introduction to multilevel Monte Carlo for option valuation ⋮ Pricing Bermudan options under Merton jump-diffusion asset dynamics ⋮ Fitted finite volume method for pricing CO2futures option based on the underlying with non-log-normal distribution ⋮ General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options ⋮ Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach ⋮ A Series Solution for Bermudan Options ⋮ An iterative procedure for solving integral equations related to optimal stopping problems ⋮ EFFICIENT HEDGING OF PATH–DEPENDENT OPTIONS ⋮ Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach ⋮ Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model ⋮ Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation ⋮ Tax-Aware Dynamic Asset Allocation ⋮ CONVENIENT MULTIPLE DIRECTIONS OF STRATIFICATION ⋮ Convergence and stability of the balanced methods for stochastic differential equations with jumps ⋮ MULTIVARIATE PARTIAL DIFFERENTIAL EQUATION DESCRIBING THE EVOLUTION OF A GAUSSIAN PROCESS ⋮ VOLATILITY DERIVATIVES IN MARKET MODELS WITH JUMPS ⋮ Reliable Quantification and Efficient Estimation of Credit Risk ⋮ Modeling Asset Prices ⋮ Numerical Solution of Stochastic Differential Equations in Finance ⋮ THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES ⋮ Monte Carlo methods for pricing financial options ⋮ Pricing Israeli options: a pathwise approach ⋮ Automatic evaluations of cross-derivatives ⋮ Fast Ninomiya–Victoir calibration of the double-mean-reverting model ⋮ Quantile mechanics II: changes of variables in Monte Carlo methods and GPU-optimised normal quantiles ⋮ Envelope Theorems for Multistage Linear Stochastic Optimization ⋮ Approximation of insurance liability contracts using radial basis functions ⋮ Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions ⋮ An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting ⋮ Least-square-based control variate method for pricing options under general factor models ⋮ THE VALUATION OF SELF-FUNDING INSTALMENT WARRANTS ⋮ Moments of integrated exponential Lévy processes and applications to Asian options pricing ⋮ On the sensitivity analysis of energy quanto options ⋮ Ensemble Approximate Control Variate Estimators: Applications to MultiFidelity Importance Sampling ⋮ THE AFFINE RATIONAL POTENTIAL MODEL ⋮ MODELING LIFETIME EXPECTED CREDIT LOSSES ON BANK LOANS ⋮ Importance Sampling for Backward SDEs ⋮ Unnamed Item ⋮ On Pricing American Put Option on a Fixed Term: A Monte Carlo Approach ⋮ A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options ⋮ Bayesian Optimization with Expensive Integrands ⋮ How to model multivariate extremes if one must? ⋮ Convergence Rates for Adaptive Weak Approximation of Stochastic Differential Equations ⋮ Conditional Monte Carlo for Reaction Networks ⋮ An analytical approximation method for pricing barrier options under the double Heston model ⋮ Equivalence between Sobolev spaces of first-order dominating mixed smoothness and unanchored ANOVA spaces on ℝ^{𝕕} ⋮ Options Pricing for Several Maturities in a Jump-Diffusion Model ⋮ A Global Adaptive Quasi-Monte Carlo Algorithm for Functions of Low Truncation Dimension Applied to Problems from Finance ⋮ Multilevel Path Simulation for Jump-Diffusion SDEs ⋮ Lévy modeled GMWB: Pricing with wavelets ⋮ Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning ⋮ Funding shortages, expectations, and forward rate risk premium ⋮ Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model ⋮ Some contributions to sequential Monte Carlo methods for option pricing ⋮ Mean Dimension of Ridge Functions ⋮ American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis ⋮ PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY ⋮ Randomized approximation numbers on Besov classes with mixed smoothness ⋮ A Tutorial on Quantile Estimation via Monte Carlo ⋮ Sensitivity Ranks by Monte Carlo ⋮ Randomized QMC Methods for Mixed-Integer Two-Stage Stochastic Programs with Application to Electricity Optimization ⋮ SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS ⋮ HISTORICAL BACKTESTING OF LOCAL VOLATILITY MODEL USING AUD/USD VANILLA OPTIONS ⋮ Uncertainty Quantification of Derivative Instruments ⋮ Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk ⋮ On the modelling of nested risk-neutral stochastic processes with applications in insurance ⋮ Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior ⋮ Sequest: A Sequential Procedure for Estimating Quantiles in Steady-State Simulations ⋮ Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation ⋮ Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing ⋮ Simulated maximum likelihood estimation in joint models for multiple longitudinal markers and recurrent events of multiple types, in the presence of a terminal event ⋮ Forward or backward simulation? A comparative study ⋮ Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model ⋮ Efficient Simulation Designs for Valuation of Large Variable Annuity Portfolios ⋮ Unnamed Item ⋮ A fuzzy approach to option pricing in a Levy process setting ⋮ COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS ⋮ Sensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes ⋮ Unnamed Item ⋮ Importance Sampling for Pathwise Sensitivity of Stochastic Chaotic Systems ⋮ Randomized Optimal Stopping Algorithms and Their Convergence Analysis ⋮ Delay geometric Brownian motion in financial option valuation ⋮ THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM ⋮ Semi-Static Hedging for GMWB in Variable Annuities ⋮ Large Sample Behavior of the CTE and VaR Estimators under Importance Sampling ⋮ A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries ⋮ A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS ⋮ A martingale control variate method for option pricing with stochastic volatility ⋮ Minimum variance importance samplingviaPopulation Monte Carlo ⋮ Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary ⋮ Approximating the Laplace transform of the sum of dependent lognormals ⋮ Unnamed Item ⋮ Efficient simulation of Lévy-driven point processes ⋮ Monte Carlo integration with a growing number of control variates ⋮ FAST ANDROID IMPLIMENTATION OF MONTE CARLO SIMULATION FOR PRICING EQUITY-LINKED SECURITIES ⋮ Quasi-Monte Carlo-based conditional pathwise method for option Greeks ⋮ Optimal Stopping of McKean--Vlasov Diffusions via Regression on Particle Systems ⋮ Simulating random variables using moment-generating functions and the saddlepoint approximation ⋮ Optimal Stopping Under Uncertainty in Drift and Jump Intensity ⋮ Efficient Simulation of High Dimensional Gaussian Vectors ⋮ Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models ⋮ A new hybrid Monte Carlo simulation for Asian options pricing ⋮ Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps ⋮ Second Order Discretization of Bismut--Elworthy--Li Formula: Application to Sensitivity Analysis ⋮ Adaptive multiscale predictive modelling ⋮ Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk ⋮ A systematic and efficient simulation scheme for the Greeks of financial derivatives ⋮ Deep hedging ⋮ Estimation of risk contributions with MCMC ⋮ Simulation-based Value-at-Risk for nonlinear portfolios ⋮ CONSTRUCTION OF THE BLACK-SCHOLES PDE WITH JUMP-DIFFUSION MODEL ⋮ Nearest Neighbor Based Estimation Technique for Pricing Bermudan Options ⋮ Unnamed Item ⋮ Fast QMC Matrix-Vector Multiplication ⋮ Pricing Bermudan Options via Multilevel Approximation Methods ⋮ Optimization of Gaussian Random Fields ⋮ Improved Stabilized Multilevel Monte Carlo Method for Stiff Stochastic Differential Equations ⋮ Simulation Optimization: A Review and Exploration in the New Era of Cloud Computing and Big Data ⋮ Density approximations and VaR computation for compound Poisson-lognormal distributions ⋮ Laplace transform approach to option pricing for time-changed Brownian models ⋮ Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk ⋮ A Cross-Entropy Scheme for Mixtures ⋮ Cash Flow Matching ⋮ An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate ⋮ A finite volume–alternating direction implicit method for the valuation of American options under the Heston model ⋮ Preintegration via Active Subspace ⋮ Gradient estimation for smooth stopping criteria ⋮ Signature-Based Models: Theory and Calibration ⋮ Pricing Bermudan Options Using Regression Trees/Random Forests ⋮ Pathwise CVA regressions with oversimulated defaults ⋮ On comparison of steady-state infinitesimal perturbation analysis and likelihood ratio derivative estimates ⋮ A simulation-based method for estimating systemic risk measures ⋮ Systemic risk of optioned portfolio: controllability and optimization ⋮ An adaptive splitting method for the Cox-Ingersoll-Ross process ⋮ Stratified importance sampling for a Bernoulli mixture model of portfolio credit risk ⋮ Pricing autocallables under local-stochastic volatility ⋮ An efficient algorithm for pricing reinsurance contract under the regime-switching model ⋮ A review of the operations literature on real options in energy ⋮ A new options pricing method: semi-stochastic kernel regression method with constraints ⋮ A fast Monte Carlo scheme for additive processes and option pricing ⋮ A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes ⋮ Multilevel Monte Carlo simulation for the Heston stochastic volatility model ⋮ Connections between the extreme points for Vandermonde determinants and minimizing risk measure in financial mathematics ⋮ Adaptive stochastic isogeometric analysis for nonlinear bending of thin functionally graded shells with material uncertainties ⋮ Simulated Greeks for American options ⋮ Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code) ⋮ Strong approximation of Bessel processes ⋮ Copula sensitivity analysis for portfolio credit derivatives ⋮ State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables ⋮ Neural networks meet least squares Monte Carlo at internal model data ⋮ Mean-reverting schemes for solving the CIR model ⋮ Nonparametric Bayesian volatility learning under microstructure noise ⋮ Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing ⋮ Expected integration approximation under general equal measure partition ⋮ A Monte Carlo algorithm for the extrema of tempered stable processes ⋮ Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models ⋮ Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction ⋮ Iterative Improvement of Lower and Upper Bounds for Backward SDEs ⋮ Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing ⋮ Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method ⋮ Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting ⋮ Introduction to vector quantization and its applications for numerics ⋮ On the numerical stability of simulation methods for SDEs under multiplicative noise in finance ⋮ A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps ⋮ Diffusion Monte Carlo method: Numerical Analysis in a Simple Case ⋮ Bayesian estimation of exponentiated Weibull distribution under partially acceleration life tests ⋮ On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation ⋮ Improved algorithms for rare event simulation with heavy tails ⋮ Stochastic representation of solutions to degenerate elliptic and parabolic boundary value and obstacle problems with Dirichlet boundary conditions ⋮ A Stochastic Volatility Alternative to SABR ⋮ Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance ⋮ Adaptive Sequential Sample Average Approximation for Solving Two-Stage Stochastic Linear Programs ⋮ Density Estimation by Randomized Quasi-Monte Carlo ⋮ Analysis of Nested Multilevel Monte Carlo Using Approximate Normal Random Variables ⋮ The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives
