The following pages link to Piergiacomo Sabino (Q377788):
Displaying 19 items.
- Multidimensional quasi-Monte Carlo Malliavin Greeks (Q377789) (← links)
- Implementing quasi-Monte Carlo simulations with linear transformations (Q545523) (← links)
- Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options (Q1022420) (← links)
- Pricing and hedging Asian basket options with quasi-Monte Carlo simulations (Q1945610) (← links)
- Correlating Lévy processes with self-decomposability: applications to energy markets (Q2064647) (← links)
- Exact simulation of normal tempered stable processes of OU type with applications (Q2080363) (← links)
- Fast simulation of tempered stable Ornstein-Uhlenbeck processes (Q2095765) (← links)
- Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes (Q2104006) (← links)
- Coupling Poisson processes by self-decomposability (Q2363006) (← links)
- CONVENIENT MULTIPLE DIRECTIONS OF STRATIFICATION (Q3100993) (← links)
- Enhancing Least Squares Monte Carlo with diffusion bridges: an application to energy facilities (Q4683094) (← links)
- Pricing exchange options with correlated jump diffusion processes (Q4957241) (← links)
- A Bivariate Normal Inverse Gaussian Process with Stochastic Delay: Efficient Simulations and Applications to Energy Markets (Q5063388) (← links)
- Gamma-related Ornstein–Uhlenbeck processes and their simulation* (Q5065235) (← links)
- Forward or backward simulation? A comparative study (Q5139227) (← links)
- Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives (Q5149267) (← links)
- Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes (Q5164999) (← links)
- Normal Tempered Stable Processes and the Pricing of Energy Derivatives (Q5886359) (← links)
- Exchange Option Pricing Under Variance Gamma-Like Models (Q6047093) (← links)
