Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis
Year of publication: |
2018
|
---|---|
Authors: | Bianchetti, Marco |
Other Persons: | Kucherenko, Sergei (contributor) ; Scoleri, Stefano (contributor) |
Publisher: |
[2018]: [S.l.] : SSRN |
Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Sensitivitätsanalyse | Sensitivity analysis | Risikomanagement | Risk management |
Extent: | 1 Online-Ressource (43 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: A version of this paper was published in Wilmott, 2015: 46-70, July 2015 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 9, 2015 erstellt |
Other identifiers: | 10.2139/ssrn.2592753 [DOI] |
Classification: | C63 - Computational Techniques ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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