Adjoint-based Monte Carlo calibration of financial methods

DOI10.1007/s00780-009-0097-9zbMath1199.91212OpenAlexW1972375231MaRDI QIDQ964678

C. Kaebe, Ekkehard W. Sachs, Jan H. Maruhn

Publication date: 22 April 2010

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-009-0097-9

zbMATH Keywords

adjoint equationMonte Carlo calibrationmulti-layer method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Applications of mathematical programming (90C90) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Regula falsi based automatic regularization method for PDE constrained optimization ⋮ Adjoint-based Monte Carlo calibration of financial methods ⋮ Calibration of financial models using quasi-Monte Carlo ⋮ Randomized Sketching Algorithms for Low-Memory Dynamic Optimization ⋮ Efficient calibration of the Hull White model

Uses Software

• AMLET

Cites Work

• Parameter identification in financial market models with a feasible point SQP algorithm
• Identification of the local speed function in a Lévy model for option pricing
• Adjoint-based Monte Carlo calibration of financial methods
• Convergence theory for nonconvex stochastic programming with an application to mixed logit
• Numerical Optimization
• Multilevel Algorithms for Constrained Compact Fixed Point Problems
• Monte Carlo sampling approach to stochastic programming
• Interior Methods for Nonlinear Optimization
• A comparison of biased simulation schemes for stochastic volatility models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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