Study of 'value' modelling efficiency in the Monte Carlo method

DOI10.1163/1569398054308649MaRDI QIDQ5694204zbMATH OpenOpenAlexFDO

Authors I. N. Medvedev, G. A. Mikhaĭlov

Publication date 29 September 2005

Full work available at URL https://doi.org/10.1163/1569398054308649

zbMATH Keywords

Markov chainvarianceMonte Carlo methodtransport theoryvalue modelling

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Continuous-time Markov processes on discrete state spaces (60J27)

Recommendations

• Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
• Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
• scientific article; zbMATH DE number 1069624
• Applying the Monte Carlo method for optimum estimation in systems with random structure
• On an efficient multiple time step Monte Carlo simulation of the SABR model
• Comparing stochastic volatility models through Monte Carlo simulations

Cited in

(3)

• scientific article; zbMATH DE number 2210669 (Why is no real title available?)
• Implementation of partial value modeling in the half-space of phase coordinates
• Investigation and reduction of variance of a weighted estimate in numerical statistical simulation

This page was built for publication: Study of 'value' modelling efficiency in the Monte Carlo method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5694204)