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Monte Carlo simulation
57
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Option pricing theory
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21
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The journal of computational finance
International journal of production research
619
European journal of operational research : EJOR
421
Physica A: Statistical Mechanics and its Applications
315
International journal of production economics
247
Renewable Energy
228
Mathematics and Computers in Simulation (MATCOM)
218
Energy
216
Computational economics
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Journal of Artificial Societies and Social Simulation
211
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MPRA Paper
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197
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Water Resources Management
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Computers & operations research : and their applications to problems of world concern ; an international journal
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Discussion paper / Center for Economic Research, Tilburg University
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EUROMOD working paper series
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of economic behavior & organization : JEBO
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Operations research
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IZA Discussion Papers
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Journal of economic interaction and coordination : JEIC
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Econometric reviews
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Transportation research / E : an international journal
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European Journal of Operational Research
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ECONIS (ZBW)
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1
Subsampling and other considerations for efficient risk estimation in large portfolios
Giles, Michael B.
;
Haji-Ali, Abdul-Lateef
- In:
The journal of computational finance
26
(
2022
)
1
,
pp. 113-140
Persistent link: https://www.econbiz.de/10014546280
Saved in:
2
Automatic differentiation for diffusion operator integral variance reduction
Auster, Johan
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 27-53
Persistent link: https://www.econbiz.de/10014546286
Saved in:
3
Least squares Monte Carlo methods in stochastic Volterra rough volatility models
Guerreiro, Henrique
;
Guerra, João
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 73-101
Persistent link: https://www.econbiz.de/10014314563
Saved in:
4
Simulating the Cox-Ingersoll-Ross and Heston processes : matching the first four moments
Okhrin, Ostap
;
Rockinger, Michael
;
Schmid, Manuel
- In:
The journal of computational finance
26
(
2022
)
2
,
pp. 1-52
Persistent link: https://www.econbiz.de/10013549657
Saved in:
5
Multilevel Monte Carlo
simulation
for VIX options in the rough Bergomi model
Bourgey, Florian
;
De Marco, Stefano
- In:
The journal of computational finance
26
(
2022
)
2
,
pp. 53-82
Persistent link: https://www.econbiz.de/10013549658
Saved in:
6
Fast stochastic forward sensitivities in Monte Carlo simulations using stochastic automatic differentiation (with applications to initial margin valuation adjustments)
Fries, Christian
- In:
The journal of computational finance
22
(
2018/2019
)
4
,
pp. 103-125
Persistent link: https://www.econbiz.de/10012042220
Saved in:
7
Kriging metamodels and experimental design for Bermudan option pricing
Ludkovski, Mike
- In:
The journal of computational finance
22
(
2018
)
1
,
pp. 37-77
Persistent link: https://www.econbiz.de/10011890178
Saved in:
8
Branching diffusions with jumps, and valuation with systemic counterparties
Belak, Christoph
;
Hoffmann, Daniel
;
Seifried, Frank Thomas
- In:
The journal of computational finance
25
(
2021
)
3
,
pp. 51-86
Persistent link: https://www.econbiz.de/10012873083
Saved in:
9
Importance sampling for jump-diffusions via cross-entropy
Rieke, Rebecca
;
Sun, Weifeng
;
Wang, Hui
- In:
The journal of computational finance
22
(
2018
)
1
,
pp. 107-130
Persistent link: https://www.econbiz.de/10011890185
Saved in:
10
Second-order Monte Carlo sensitivities
Daluiso, Roberto
- In:
The journal of computational finance
23
(
2020
)
4
,
pp. 61-91
Persistent link: https://www.econbiz.de/10012212482
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