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isPartOf:"International journal of theoretical and applied finance"
~subject:"Monte Carlo methods"
~subject:"Monte Carlo"
~subject:"Stochastic process"
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Monte Carlo methods
Monte Carlo
Stochastic process
Monte Carlo simulation
42
Monte-Carlo-Simulation
42
Option pricing theory
28
Optionspreistheorie
28
Stochastischer Prozess
12
Volatility
11
Volatilität
11
Theorie
9
Theory
9
Derivat
7
Derivative
7
Black-Scholes model
6
Black-Scholes-Modell
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Option trading
6
Optionsgeschäft
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Estimation theory
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Schätztheorie
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American options
2
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Bermudan options
2
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Griechenland
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Heston model
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Kleinste-Quadrate-Methode
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Least squares method
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Markov chain
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Markov-Kette
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Mathematical analysis
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Monte Carlo simulations
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Numerical analysis
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Numerisches Verfahren
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Optionsanleihe
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18
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Oosterlee, Cornelis W.
3
Grzelak, Lech A.
2
Kouritzin, Michael A.
2
Stoep, Anthonie W. van der
2
Aistleitner, Christoph
1
Benedetti, Giuseppe
1
Benth, Fred Espen
1
Bernard, Carole
1
Bojarčenko, Svetlana I.
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
Hofer, Markus
1
Jourdain, Benjamin
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
Minozzo, Marco
1
Nasroallah, Abdelaziz
1
Peng, Qidi
1
Rakhmonov, Firuz
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1
Sabino, Piergiacomo
1
Schellhorn, Henry
1
Takahashi, Akihiko
1
Takehara, Kohta
1
Terenzi, Giulia
1
Tichy, Robert F.
1
Weide, Hans van der
1
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International journal of theoretical and applied finance
The journal of computational finance
21
Computational economics
19
Quantitative finance
19
Discussion paper / Tinbergen Institute
17
Journal of econometrics
17
Econometric reviews
14
Journal of risk and financial management : JRFM
14
European journal of operational research : EJOR
13
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
13
Energy economics
11
Journal of economic dynamics & control
10
Working paper / Department of Econometrics and Business Statistics, Monash University
10
Finance and stochastics
9
Applied economics
8
Economics letters
8
Finance research letters
8
International journal of forecasting
8
Mathematics of operations research
8
Risks : open access journal
8
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
CEMMAP working papers / Centre for Microdata Methods and Practice
6
Econometrics : open access journal
6
Economic modelling
6
INFORMS journal on computing : JOC
6
International journal of financial engineering
6
Journal of empirical finance
6
Working paper
6
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
5
Insurance / Mathematics & economics
5
Journal of time series econometrics
5
SFB 649 discussion paper
5
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
4
Applied economics letters
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
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ECONIS (ZBW)
18
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1
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:
2
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:
3
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:
4
Conditional Monte Carlo scheme for stable greeks of worst-of autocallable notes
Rakhmonov, Firuz
;
Rakhmonov, Parviz
- In:
International journal of theoretical and applied finance
22
(
2019
)
6
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012153309
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
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:
8
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:
9
Computation of Greeks for jump-diffusion models
Eddahbi, M'hamed
;
Cherif, Sidi Mohamed Lalaoui Ben
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011403918
Saved in:
10
The time-dependent FX-SABR model : efficient calibration based on effective parameters
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011403947
Saved in:
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