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isPartOf:"International journal of theoretical and applied finance"
~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
52
Monte-Carlo-Simulation
52
Option pricing theory
36
Optionspreistheorie
36
Stochastischer Prozess
17
Volatility
14
Volatilität
14
Theorie
11
Theory
11
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9
Monte Carlo
8
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Estimation theory
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option pricing
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sensitivity analysis
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American options
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Analysis
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Credit risk
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Heston model
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Kouritzin, Michael A.
2
Oosterlee, Cornelis W.
2
Benedetti, Giuseppe
1
Benth, Fred Espen
1
Bernard, Carole
1
Bojarčenko, Svetlana I.
1
Bottasso, Anna
1
Briani, Maya
1
Campolieti, Giuseppe
1
Caramellino, Lucia
1
Centanni, Silvia
1
Chen, Bin
1
Cherif, Sidi Mohamed Lalaoui Ben
1
Cui, Zhenyu
1
Eddahbi, M'hamed
1
Felten, Björn
1
Fusaro, Michelangelo
1
Gao, Xin
1
Giribone, Pier Giuseppe
1
Grzelak, Lech A.
1
Jourdain, Benjamin
1
Karlsson, Patrik
1
Kiesel, Rüdiger
1
Kremer, Marcel
1
Lapeyre, Bernard
1
Levendorskij, Sergej Z.
1
Liu, Chen
1
MacKay, Anne
1
Makarov, Roman
1
McLeish, Don L.
1
Mehrdoust, Farshid
1
Mi, Yanhui
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Minozzo, Marco
1
Nasroallah, Abdelaziz
1
Peng, Qidi
1
Sabino, Piergiacomo
1
Samimi, Oldouz
1
Schellhorn, Henry
1
Schäfer, Tobias
1
Stoep, Anthonie W. van der
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International journal of theoretical and applied finance
International journal of financial engineering
Discussion paper / Tinbergen Institute
16
Journal of econometrics
14
Quantitative finance
14
The journal of computational finance
14
Computational economics
13
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
9
Finance and stochastics
8
Finance research letters
8
Mathematics of operations research
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Risks : open access journal
7
Journal of empirical finance
6
CEMMAP working papers / Centre for Microdata Methods and Practice
5
SFB 649 discussion paper
5
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
5
Working paper
5
Applied economics
4
Applied mathematical finance
4
CAMA working paper series
4
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
4
Economic modelling
4
GRIPS discussion papers
4
INFORMS journal on computing : JOC
4
Insurance / Mathematics & economics
4
International journal of forecasting
4
Journal of economic dynamics & control
4
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
3
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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
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:
3
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:
4
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:
5
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:
6
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:
7
Finite element based Monte Carlo simulation of options on Lévy driven assets
Karlsson, Patrik
- In:
International journal of financial engineering
5
(
2018
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011922968
Saved in:
8
Pricing multi-asset American option under Heston stochastic volatility model
Samimi, Oldouz
;
Mehrdoust, Farshid
- In:
International journal of financial engineering
5
(
2018
)
3
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011923057
Saved in:
9
Explicit Heston solutions and stochastic approximation for path-dependent option pricing
Kouritzin, Michael A.
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-45
Persistent link: https://www.econbiz.de/10011846484
Saved in:
10
On the calculation of risk measures using least-squares Monte Carlo
Benedetti, Giuseppe
- In:
International journal of theoretical and applied finance
20
(
2017
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011686897
Saved in:
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