Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A Unified View of the IPA, SF, and LR Gradient Estimation Techniques
- A weighted discrepancy bound of quasi-Monte Carlo importance sampling
- An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
- Asymptotically optimal importance sampling and stratification for pricing path-dependent options
- Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions
- Conditional sampling for barrier option pricing under the Heston model
- Control variates for quasi-Monte Carlo (with comments and rejoinder)
- Estimating Security Price Derivatives Using Simulation
- High dimensional integration of kinks and jumps -- smoothing by preintegration
- scientific article; zbMATH DE number 5797591 (Why is no real title available?)
- scientific article; zbMATH DE number 53679 (Why is no real title available?)
- scientific article; zbMATH DE number 1103058 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 2051221 (Why is no real title available?)
- scientific article; zbMATH DE number 822320 (Why is no real title available?)
- scientific article; zbMATH DE number 1425054 (Why is no real title available?)
- Laplace Importance Sampling for Generalized Linear Mixed Models
- Least-squares Importance Sampling for Monte Carlo security pricing
- Maximizing Generalized Linear Mixed Model Likelihoods With an Automated Monte Carlo EM Algorithm
- Modeling uncertainty. An examination of stochastic theory, methods, and applications
- On the \(L_2\)-discrepancy for anchored boxes
- On the convergence rate of randomized quasi-Monte Carlo for discontinuous functions
- On the error rate of conditional quasi-Monte Carlo for discontinuous functions
- Perturbation analysis and optimization of queueing networks
- Quasi-Monte Carlo for discontinuous integrands with singularities along the boundary of the unit cube
- Quasi-Monte Carlo for highly structured generalised response models
- Quasi-Monte Carlo methods with applications in finance
- Quasi-Monte Carlo-based conditional pathwise method for option Greeks
- Quasi-Random Methods for Estimating Integrals Using Relatively Small Samples
- Safe and Effective Importance Sampling
- Scrambled net variance for integrals of smooth functions
- Scrambling Sobol' and Niederreiter-Xing points
- Singular value decomposition and least squares solutions
- Smoothness and dimension reduction in quasi-Monte Carlo methods
- The effective dimension and quasi-Monte Carlo integration
- Variance reduction via lattice rules
Cited in
(9)- An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
- Implementing importance sampling in the least-squares Monte Carlo approach for American options
- scientific article; zbMATH DE number 5774855 (Why is no real title available?)
- On the Error Rate of Importance Sampling with Randomized Quasi-Monte Carlo
- Conditional quasi-Monte Carlo with constrained active subspaces
- Achieving high convergence rates by quasi-Monte Carlo and importance sampling for unbounded integrands
- On the convergence rate of quasi Monte Carlo method with importance sampling for unbounded functions in RKHS
- Transporting higher-order quadrature rules -- quasi-Monte Carlo points and sparse grids for mixture distributions
- A generalized adaptive Monte Carlo algorithm based on a two-step iterative method for linear systems and its application to option pricing
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