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isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Finance research letters"
~isPartOf:"International journal of financial engineering"
~subject:"Monte Carlo methods"
~subject:"Stochastic process"
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Search: subject_exact:"Monte Carlo method"
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Monte Carlo methods
Stochastic process
Monte Carlo simulation
73
Monte-Carlo-Simulation
73
Option pricing theory
43
Optionspreistheorie
43
Stochastischer Prozess
25
Volatility
22
Volatilität
22
Theorie
19
Theory
19
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16
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9
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28
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Kouritzin, Michael A.
2
Oosterlee, Cornelis W.
2
Aintablian, Sebouh
1
Benedetti, Giuseppe
1
Benth, Fred Espen
1
Bernard, Carole
1
Bojarčenko, Svetlana I.
1
Bottasso, Anna
1
Briani, Maya
1
Buchner, Axel
1
Campolieti, Giuseppe
1
Caramellino, Lucia
1
Centanni, Silvia
1
Chen, Bin
1
Cherif, Sidi Mohamed Lalaoui Ben
1
Cui, Zhenyu
1
EL Khoury, Wissam
1
Eddahbi, M'hamed
1
El-Khatib, Youssef
1
Felten, Björn
1
Fusaro, Michelangelo
1
Gao, Xin
1
Giribone, Pier Giuseppe
1
Goutte, Stéphane
1
Grzelak, Lech A.
1
He, Jia
1
Jia, Jiayi
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Jiang, Jingjing
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Laurini, Márcio Poletti
1
Levendorskij, Sergej Z.
1
Li, Lin
1
Liu, Chen
1
MacKay, Anne
1
Makarov, Roman
1
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International journal of theoretical and applied finance
Finance research letters
International journal of financial engineering
Discussion paper / Tinbergen Institute
16
The journal of computational finance
15
Computational economics
14
Journal of econometrics
14
Quantitative finance
14
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
13
Econometric reviews
12
European journal of operational research : EJOR
11
Journal of risk and financial management : JRFM
10
Working paper / Department of Econometrics and Business Statistics, Monash University
10
Energy economics
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Finance and stochastics
8
Mathematics of operations research
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Risks : open access journal
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Journal of empirical finance
6
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
6
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5
SFB 649 discussion paper
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Applied mathematical finance
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CAMA working paper series
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Computers & operations research : and their applications to problems of world concern ; an international journal
4
Discussion paper / Center for Economic Research, Tilburg University
4
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
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Economic modelling
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GRIPS discussion papers
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INFORMS journal on computing : JOC
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Insurance / Mathematics & economics
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International journal of forecasting
4
Journal of economic dynamics & control
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Journal of mathematical finance
4
The North American journal of economics and finance : a journal of financial economics studies
4
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
3
Asia-Pacific financial markets
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1
Investment certificates pricing using a Quasi-Monte Carlo framework : case-studies based on the Italian market
Bottasso, Anna
;
Fusaro, Michelangelo
;
Giribone, Pier …
- In:
International journal of financial engineering
10
(
2023
)
3
,
pp. 1-39
Persistent link: https://www.econbiz.de/10014444661
Saved in:
2
Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset
El-Khatib, Youssef
;
Goutte, Stéphane
;
Makumbe, Zororo S.
; …
- In:
Finance research letters
44
(
2022
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014494891
Saved in:
3
Branching particle pricers with heston examples
Kouritzin, Michael A.
;
MacKay, Anne
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012270887
Saved in:
4
Volatility and liquidity on high-frequency electricity futures markets : empirical analysis and stochastic modeling
Kremer, Marcel
;
Benth, Fred Espen
;
Felten, Björn
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
4
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012271026
Saved in:
5
Exotic options pricing under special Lévy process models : a biased control variate method approach
Jia, Jiayi
;
Lai, Yongzeng
;
Li, Lin
;
Tan, Vinna
- In:
Finance research letters
34
(
2020
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012436769
Saved in:
6
Forecasting volatility using realized stochastic volatility model with time-varying leverage effect
Wu, Xinyu
;
Wang, Xiaona
- In:
Finance research letters
34
(
2020
),
pp. 1-7
Persistent link: https://www.econbiz.de/10012436997
Saved in:
7
Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-49
Persistent link: https://www.econbiz.de/10012019776
Saved in:
8
American option pricing with regression : convergence analysis
Liu, Chen
;
Schellhorn, Henry
;
Peng, Qidi
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012183261
Saved in:
9
Numerical stability of a hybrid method for pricing options
Briani, Maya
;
Caramellino, Lucia
;
Terenzi, Giulia
; …
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-46
Persistent link: https://www.econbiz.de/10012153319
Saved in:
10
Estimating stochastic volatility with jumps and asymmetry in Asian markets
Saranya, K.
;
Prasanna, P. Krishna
- In:
Finance research letters
25
(
2018
),
pp. 145-153
Persistent link: https://www.econbiz.de/10012003495
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