Monte Carlo simulation and finance.
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Black-Scholes modelcalibration, estimationfinancial market modelsoption pricingquasi-Monte Carlo methodsvariance reduction techniques
Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Numerical methods (including Monte Carlo methods) (91G60)
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Cited in
(25)- PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
- Radial basis functions with application to finance: American put option under jump diffusion
- A general method of computing mixed Poisson probabilities by Monte Carlo sampling
- Least squares polynomial chaos expansion: a review of sampling strategies
- Simulation of jump diffusions and the pricing of options
- Monte Carlo within a day
- Monte Carlo simulation with applications to finance.
- Simulation-based estimation methods for financial time series models
- Monte Carlo Computation in Finance
- Bounded Relative Error Importance Sampling and Rare Event Simulation
- Revisiting the Edge, Ten Years On
- Stochastic simulation and applications in finance with Matlab programs. With CD-ROM.
- scientific article; zbMATH DE number 1984174 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
- ANALYSIS OF THE ANOMALY OF ran1() GENERATOR IN MONTE CARLO PRICING OF FINANCIAL DERIVATIVES
- Advanced simulation-based methods for optimal stopping and control. With applications in finance
- Nearly exact option price simulation using characteristic functions
- Antithetic and Negatively Associated Random Variables and Function Maximization
- Monte Carlo methods and models in finance and insurance.
- Finance with Monte Carlo
- Handbook in Monte Carlo simulation. Applications in financial engineering, risk management, and economics
- Accelerating numerical solution of stochastic differential equations with CUDA
- Development of multi-forecasting model using Monte Carlo simulation coupled with wavelet denoising-ARIMA model
- A conditional distribution approach to uniform sampling on spheres and balls in \(L_{p}\) spaces
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