Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations
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Publication:777908
DOI10.1515/MCMA-2020-2062OpenAlexW3001113461MaRDI QIDQ777908FDOQ777908
Florian Bourgey, Emmanuel Gobet, Alexandre Zhou, Stefano De Marco
Publication date: 8 July 2020
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma-2020-2062
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- THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY
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Cited In (5)
- Level-based analysis of the univariate marginal distribution algorithm
- Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests
- Some improvements to the Shenoy-Shafer and Hugin architectures for computing marginals
- Adaptive Multilevel Monte Carlo for Probabilities
- Multilevel sequential Monte Carlo: Mean square error bounds under verifiable conditions
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