Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations
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Publication:777908
Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 3273551 (Why is no real title available?)
- scientific article; zbMATH DE number 3301571 (Why is no real title available?)
- A distribution-free theory of nonparametric regression
- Decision-making under uncertainty: using MLMC for efficient estimation of EVPPI
- Estimating Security Price Derivatives Using Simulation
- Multilevel Monte Carlo Path Simulation
- Multilevel nested simulation for efficient risk estimation
- Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives
- Nested simulation in portfolio risk measurement
- Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements
- On irregular functionals of SDEs and the Euler scheme
- Pricing American Options: A Duality Approach
- Pricing bounds for volatility derivatives via duality and least squares Monte Carlo
- Risk estimation via regression
- The Inverse of the Cumulative Standard Normal Probability Function
- The tracking error rate of the delta-gamma hedging strategy
Cited in
(5)- Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests
- Multilevel sequential Monte Carlo: Mean square error bounds under verifiable conditions
- Adaptive multilevel Monte Carlo for probabilities
- Level-based analysis of the univariate marginal distribution algorithm
- Some improvements to the Shenoy-Shafer and Hugin architectures for computing marginals
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