scientific article; zbMATH DE number 1069624
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- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- Stochastic Volatility Estimation Using Markov Chain Simulation
- Comparison of MCMC methods for estimating stochastic volatility models
- Sample path large deviations and optimal importance sampling for stochastic volatility models
- Variance reduction for Monte Carlo simulation in a stochastic volatility environment
- A variance reduction technique based on integral representations
- The weighted variance minimization in jump-diffusion stochastic volatility models
- Multilevel Monte Carlo simulation for the Heston stochastic volatility model
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- Some Numerical Methods for Rare Events Simulation and Analysis
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- Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models
- Efficient simulation of a multi-factor stochastic volatility model
- Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods
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