Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations (Q777908): Difference between revisions

@@ Property / cites work @@
+Q5558293
@@ Property / cites work: Q5558293 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements
+Normal rank
@@ Property / cites work @@
+On irregular functionals of SDEs and the Euler scheme
+Normal rank
@@ Property / cites work @@
+Risk Estimation via Regression
@@ Property / cites work: Risk Estimation via Regression / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating Security Price Derivatives Using Simulation
+Normal rank
@@ Property / cites work @@
+Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives
+Normal rank
@@ Property / cites work @@
+Q5583193
@@ Property / cites work: Q5583193 / rank @@
+Normal rank
@@ Property / cites work @@
+The Inverse of the Cumulative Standard Normal Probability Function
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Methods
@@ Property / cites work: Multilevel Monte Carlo Methods / rank @@
+Normal rank
@@ Property / cites work @@
+Decision-making under uncertainty: using MLMC for efficient estimation of EVPPI
+Normal rank
@@ Property / cites work @@
+Multilevel Nested Simulation for Efficient Risk Estimation
+Normal rank
@@ Property / cites work @@
+THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY
+Normal rank
@@ Property / cites work @@
+Nested Simulation in Portfolio Risk Measurement
@@ Property / cites work: Nested Simulation in Portfolio Risk Measurement / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing bounds for volatility derivatives via duality and least squares Monte Carlo
+Normal rank
@@ Property / cites work @@
+A distribution-free theory of nonparametric regression
+Normal rank
@@ Property / cites work @@
+Q3911791
@@ Property / cites work: Q3911791 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing American Options: A Duality Approach
@@ Property / cites work: Pricing American Options: A Duality Approach / rank @@
+Normal rank