Adaptive variance reduction techniques in finance

MaRDI QIDQ3656690zbMATH OpenFDO

Authors Benjamin Jourdain

Publication date 13 January 2010

zbMATH Keywords

control variatesimportance samplingsample average optimisationstratificationvariance reduction techniques

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic programming (90C15) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(6)

• Stratified regression-based variance reduction approach for weak approximation schemes
• An Efficient Control Variate Method for Parametrized Expectations
• Computational strategy for the crash design analysis using an uncertain computational mechanical model
• Multidimensional quasi-Monte Carlo Malliavin Greeks
• Adaptative Monte Carlo Method, A Variance Reduction Technique
• A fast Monte-Carlo method with a reduced basis of control variates applied to uncertainty propagation and Bayesian estimation

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