Sensitivity estimates from characteristic functions
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- Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity
- Multivariate additive subordination with applications in finance
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
- Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
- On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
- Efficient simulation of Lévy-driven point processes
- On the data-driven COS method
- Multiple subordinated modeling of asset returns: implications for option pricing
- Computation of Greeks in jump-diffusion models using discrete Malliavin calculus
- An exact method for the sensitivity analysis of systems simulated by rejection techniques
- Sensitivity estimates for compound sums
- Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions
- Stochastic derivative estimation for max-stable random fields
- Generative Neural Networks for Characteristic Functions
- A two-dimensional, two-sided Euler inversion algorithm with computable error bounds and its financial applications
- Multivariate Lévy models: calibration and pricing
- Faster Kriging: facing high-dimensional simulators
- A fast Monte Carlo scheme for additive processes and option pricing
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes
- Reverse sensitivity testing: what does it take to break the model?
- Shot noise, weak convergence and diffusion approximations
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