Pages that link to "Item:Q668683"
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The following pages link to The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks (Q668683):
Displaying 34 items.
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor (Q1656373) (← links)
- Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation (Q1656758) (← links)
- An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA (Q1980957) (← links)
- Explainable neural network for pricing and universal static hedging of contingent claims (Q2060236) (← links)
- Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models. (Q2073105) (← links)
- Quasi-Monte Carlo simulation for American option sensitivities (Q2146323) (← links)
- Bermudan options pricing formulas in uncertain financial markets (Q2169605) (← links)
- Computing credit valuation adjustment solving coupled PIDEs in the Bates model (Q2221460) (← links)
- ``Regression anytime'' with brute-force SVD truncation (Q2240846) (← links)
- A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options (Q2243318) (← links)
- Deep learning for CVA computations of large portfolios of financial derivatives (Q2244169) (← links)
- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (Q2656684) (← links)
- A novel Monte Carlo approach to hybrid local volatility models (Q4555144) (← links)
- Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method (Q4585673) (← links)
- COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK (Q4602499) (← links)
- Calculation of Exposure Profiles and Sensitivities of Options under the Heston and the Heston Hull-White Models (Q4604870) (← links)
- Modern Monte Carlo Methods and GPU Computing (Q4626521) (← links)
- A New Approach for American Option Pricing: The Dynamic Chebyshev Method (Q4628394) (← links)
- Efficient Computation of Various Valuation Adjustments Under Local Lévy Models (Q4635249) (← links)
- Pricing high-dimensional American options by kernel ridge regression (Q4991062) (← links)
- Speed-up credit exposure calculations for pricing and risk management (Q4991089) (← links)
- Numerical valuation of Bermudan basket options via partial differential equations (Q5031294) (← links)
- Stochastic grid bundling method for backward stochastic differential equations (Q5031712) (← links)
- BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems (Q5031725) (← links)
- KrigHedge: Gaussian Process Surrogates for Delta Hedging (Q5093245) (← links)
- Mixing LSMC and PDE Methods to Price Bermudan Options (Q5112723) (← links)
- Deep learning for ranking response surfaces with applications to optimal stopping problems (Q5139253) (← links)
- Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach (Q5234310) (← links)
- On the modelling of nested risk-neutral stochastic processes with applications in insurance (Q5373909) (← links)
- Deep optimal stopping (Q5381128) (← links)
- Deep neural network expressivity for optimal stopping problems (Q6565562) (← links)
- A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA (Q6576883) (← links)
- Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk (Q6625108) (← links)
- 15 years of Adjoint Algorithmic Differentiation (AAD) in finance (Q6657706) (← links)
