scientific article; zbMATH DE number 2051217
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Publication:4453509
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- A least-squares Monte Carlo approach to the estimation of enterprise risk
- Socio-economic differentiation in experienced mortality modelling and its pricing implications
- A bias-corrected least-squares Monte Carlo for solving multi-period utility models
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- Pricing and exercising American options: an asymptotic expansion approach
- The difference between LSMC and replicating portfolio in insurance liability modeling
- Pricing American options by simulation using a stochastic mesh with optimized weights
- Least-squares Monte Carlo for backward SDEs
- A review on regression-based Monte Carlo methods for pricing American options
- SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
- Pricing American options with weighted least-squares quasi-Monte Carlo
- Regression-based complexity reduction of the nested Monte Carlo methods
- Mathematical foundation of the replicating portfolio approach
- A class of finite-dimensional numerically solvable McKean-Vlasov control problems
- Pricing high-dimensional American options by kernel ridge regression
- Time-consistent and market-consistent actuarial valuation of the participating pension contract
- Dynamic programming for optimal stopping via pseudo-regression
- Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach
- Stochastic grid bundling method for backward stochastic differential equations
- Pathwise dynamic programming
- Large Sample Properties of Weighted Monte Carlo Estimators
- A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING
- Iterative improvement of lower and upper bounds for backward SDEs
- A machine learning approach to portfolio pricing and risk management for high‐dimensional problems
- Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
- Optimal liquidation through a limit order book: a neural network and simulation approach
- A gradient method for high-dimensional BSDEs
- A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA
- Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
- Purely dual approach for optimal stopping problems via regression
- Ensemble learning for portfolio valuation and risk management
- Efficient upper bounds for American options: regression-based duals from backward primals
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