scientific article; zbMATH DE number 1999206

MaRDI QIDQ4433608zbMATH OpenFDO

Authors Paul Glasserman

Publication date 2 November 2003

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(only showing first 100 items - show all)

Analytical approximations for prices of swap rate dependent embedded options in insurance products
A mixed PDE/Monte-Carlo method for stochastic volatility models
Single name credit default swaptions meet single sided jump models
Testing diffusion processes for non-stationarity
Optimization strategies in credit portfolio management
Auto-static for the people: risk-minimizing hedges of barrier options
Revisit of stochastic mesh method for pricing American options
Computing option price for Lévy process with fuzzy parameters
Recovery process model for two companies
Top-down approaches for integrated risk management: how accurate are they?
A general control variate method for option pricing under Lévy processes
Monte Carlo methods for security pricing
Pricing turbo warrants under mixed-exponential jump diffusion model
On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media
Importance sampling for Kolmogorov backward equations
Asymptotic distribution of the EPMS estimator for financial derivatives pricing
An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
Weak Milstein scheme without commutativity condition and its error bound
On the efficient simulation of the left-tail of the sum of correlated log-normal variates
Using forward Monte-Carlo simulation for the valuation of American barrier options
A hybrid Monte Carlo acceleration method of pricing basket options based on splitting
Likelihood computation in the normal-gamma stochastic frontier model
Quasi-Monte Carlo point sets with small t-values and WAFOM
Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions
Dynamic portfolio choices by simulation-and-regression: revisiting the issue of value function vs. portfolio weight recursions
Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary
Implicit American Monte Carlo methods for nonlinear functional of future portfolio value
Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis
Replicating portfolio approach to capital calculation
Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach
A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance
Optimal harvesting for a stochastic predator-prey model with S-type distributed time delays
Asymptotics for the Euler-discretized Hull-White stochastic volatility model
Efficient simulations for a Bernoulli mixture model of portfolio credit risk
Approximations for weighted Kolmogorov-Smirnov distributions via boundary crossing probabilities
An efficient approach based on radial basis functions for solving stochastic fractional differential equations
Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions
Runoff or redesign? Alternative guarantees and new business strategies for participating life insurance
Allowance for surplus funds under Solvency II: adequate reflection of risk sharing between policyholders and shareholders in a risk-based solvency framework?
Variance reduction in Monte Carlo estimators via empirical variance minimization
Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters
The use of power numeraires in option pricing
Relationship between least squares Monte Carlo and approximate linear programming
Pricing multi-asset option problems: a Chebyshev pseudo-spectral method
An integral representation of elasticity and sensitivity for stochastic volatility models
Nonparametric quantile estimation using importance sampling
Monte Carlo methods for uniform approximation on periodic Sobolev spaces with mixed smoothness
Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation
Pricing barrier options in the Heston model using the Heath-Platen estimator
Improving the efficiency of fully Bayesian optimal design of experiments using randomised quasi-Monte Carlo
Comparison of least squares Monte Carlo methods with applications to energy real options
An FEM-MLMC algorithm for a moving shutter diffraction in time stochastic model
Stochastic and quasistochastic computations
Dynamic importance sampling for uniformly recurrent Markov chains
Path integral pricing of wasabi option in the Black-Scholes model
Modelling hepatitis C virus infection and the development of hepatocellular carcinoma
Chebyshev reduced basis function applied to option valuation
A discrete optimality system for an optimal harvesting problem
Modeling asset price under two-factor Heston model with jumps
CAM stochastic volatility model for option pricing
Solvency II, or how to sweep the downside risk under the carpet
Efficient Monte Carlo simulation of security prices
Stochastic comparisons of symmetric sampling designs
\(\varepsilon\)-strong simulation of the Brownian path
Taylor series approximations to expected utility and optimal portfolio choice
Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
On the stability the least squares Monte Carlo
Pricing and hedging Asian basket options with quasi-Monte Carlo simulations
Analysis of hepatitis C viral dynamics using Latin hypercube sampling
Exact and high-order discretization schemes for Wishart processes and their affine extensions
Mixing Monte-Carlo and partial differential equations for pricing options
On the distribution of integration error by randomly-shifted lattice rules
The monotone case approach for the solution of certain multidimensional optimal stopping problems
Volatility swaps and volatility options on discretely sampled realized variance
Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Adaptive stratified Monte Carlo algorithm for numerical computation of integrals
Radial basis function partition of unity methods for pricing vanilla basket options
A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time
General multilevel Monte Carlo methods for pricing discretely monitored Asian options
Implementing de-biased estimators using mixed sequences
Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1
Numerical performance of optimized Frolov lattices in tensor product reproducing kernel Sobolev spaces
Fast simulation of the customer blocking probability in queueing networks with multicast access
Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model
A Kalman particle filter for online parameter estimation with applications to affine models
Numerical solution of stochastic Itô-Volterra integral equations based on Bernstein multi-scaling polynomials
Fast incremental expectation maximization for finite-sum optimization: nonasymptotic convergence
Control variate selection for Monte Carlo integration
Socially responsible merchant operations: comparison of shutdown-averse CVaR and anticipated regret policies
Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
Multilevel Monte Carlo estimators for elliptic PDEs with Lévy-type diffusion coefficient
Surrender contagion in life insurance
Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
Variance reduction for Metropolis-Hastings samplers
Quantum algorithms for numerical differentiation of expected values with respect to parameters
Variance reduction for additive functionals of Markov chains via martingale representations
Stochastic representation of FGM copulas using multivariate Bernoulli random variables
Estimating option Greeks under the stochastic volatility using simulation

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