Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations (Q777908)
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scientific article; zbMATH DE number 7218633
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| English | Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations |
scientific article; zbMATH DE number 7218633 |
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Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations (English)
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8 July 2020
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multilevel Monte Carlo
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nested expectation
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upper-lower bounds
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initial margin
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