scientific article; zbMATH DE number 5774855

MaRDI QIDQ3583034zbMATH OpenFDO

Authors Jan C. Neddermeyer

Publication date 26 August 2010

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(3)

• Bayesian estimation of dynamic asset pricing models with informative observations
• Nonparametric particle filtering and smoothing with quasi-Monte Carlo sampling
• Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance

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