Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing

DOI10.1287/OPRE.2015.1470zbMATH Open1342.91044OpenAlexW2275195990MaRDI QIDQ5740211FDOQ5740211

Xiaoqun Wang

Publication date: 25 July 2016

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.2015.1470

Recommendations

• Rough paths based numerical algorithms in computational finance
• A simulation environment for discontinuous portfolio value processes
• Good path generation methods in quasi-Monte Carlo for pricing financial derivatives
• Discretization processing of financial risk management using stochastic differential equation simulation method
• Saddlepoint approximation methods in financial engineering
• Computing efficient hedging strategies in discontinuous market models
• Term structure modelling for multiple curves with stochastic discontinuities
• scientific article; zbMATH DE number 1376674
• A unified framework for robust modelling of financial markets in discrete time
• scientific article; zbMATH DE number 5052229

zbMATH Keywords

simulationfinanceoption pricingquasi-Monte Carlo methodseffective dimensiondiscontinuityGreeksfinancial engineeringpath simulation method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• Quasi-Random Sequences and Their Discrepancies
• Title not available (Why is that?)
• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
• How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?
• High-dimensional integration: The quasi-Monte Carlo way
• Smoothness and dimension reduction in quasi-Monte Carlo methods
• Improving the rejection sampling method in quasi-Monte Carlo methods
• Quasi-Monte Carlo integration
• On the Effects of Dimension Reduction Techniques on Some High-Dimensional Problems in Finance
• The effective dimension and quasi-Monte Carlo integration
• Good path generation methods in quasi-Monte Carlo for pricing financial derivatives
• Pricing Derivative Securities Using Integrated Quasi--Monte Carlo Methods with Dimension Reduction and Discontinuity Realignment
• Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction
• Title not available (Why is that?)
• Estimating Mean Dimensionality of Analysis of Variance Decompositions
• Estimating Security Price Derivatives Using Simulation
• Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts
• The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
• Low discrepancy sequences in high dimensions: how well are their projections distributed?
• Monte Carlo integration with quasi-random numbers: Experience with discontinuous integrands
• Conditional sampling for barrier option pricing under the LT method
• Constructing Robust Good Lattice Rules for Computational Finance
• On the Convergence Rate of Randomized Quasi--Monte Carlo for Discontinuous Functions

Cited In (6)

• Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions
• Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction
• Conditional quasi-Monte Carlo with constrained active subspaces
• Comparison of Sobol' sequences in financial applications
• Screening: from tornado diagrams to effective dimensions
• Quasi-Monte Carlo-based conditional pathwise method for option Greeks

This page was built for publication: Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5740211)