Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations

DOI10.1515/mcma-2020-2062OpenAlexW3001113461MaRDI QIDQ777908

Florian Bourgey, Emmanuel Gobet, Alexandre Zhou, Stefano De Marco

Publication date: 8 July 2020

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

Full work available at URL: https://doi.org/10.1515/mcma-2020-2062

zbMATH Keywords

multilevel Monte Carloinitial marginnested expectationupper-lower bounds

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

Related Items (2)

Adaptive Multilevel Monte Carlo for Probabilities ⋮ Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests

Uses Software

• ElemStatLearn

Cites Work

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