scientific article; zbMATH DE number 1069624
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Publication:4356586
zbMATH Open0898.90034MaRDI QIDQ4356586FDOQ4356586
Authors: Eric Fournié, J.-M. Lasry, Nizar Touzi
Publication date: 12 October 1998
Title of this publication is not available (Why is that?)
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- Stochastic Volatility Estimation Using Markov Chain Simulation
- A variance reduction technique based on integral representations
- Some Numerical Methods for Rare Events Simulation and Analysis
- Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- Study of 'value' modelling efficiency in the Monte Carlo method
- Multilevel Monte Carlo simulation for the Heston stochastic volatility model
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- Comparison of MCMC methods for estimating stochastic volatility models
- Sample path large deviations and optimal importance sampling for stochastic volatility models
- The weighted variance minimization in jump-diffusion stochastic volatility models
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- Variance reduction for Monte Carlo simulation in a stochastic volatility environment
- Efficient simulation of a multi-factor stochastic volatility model
- Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models
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