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Search: subject:"multilevel Monte Carlo"
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Monte Carlo simulation
12
Monte-Carlo-Simulation
11
Multilevel Monte Carlo
7
Option pricing theory
7
Optionspreistheorie
7
Simulation
6
multilevel Monte Carlo
5
Barrier options
3
Option trading
3
Optionsgeschäft
3
Stochastic process
3
Stochastischer Prozess
3
Discrete event simulation
2
L-leap
2
Supply chain
2
Theorie
2
Theory
2
Uncertainty modeling
2
Variance reduction
2
American options
1
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1
Asian option
1
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1
Asset liabilities management
1
Chicago Board Options Exchange Volatility Index (VIX) options
1
Decision under uncertainty
1
Derivat
1
Derivative
1
Drawdown
1
Dual approach
1
Duration of drawdown
1
Effective dimension
1
Entscheidung unter Unsicherheit
1
Estimation theory
1
Exponential Lévy models
1
Finance
1
Gaussian approximation
1
Lieferkette
1
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1
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11
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English
12
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3
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Dickmann, Fabian
3
Belomestny, Denis
2
Chiang, Nai-Yuan
2
Kahalé, Nabil
2
Lin, Yiqing
2
Long, Quan
2
Schoenmakers, John
2
Alfonsi, Aurélien
1
Bourgey, Florian
1
Cherchali, Adel
1
De Marco, Stefano
1
Ferreiro-Castilla, A.
1
Giles, Michael B.
1
González Cázares, Jorge
1
González Cázares, Jorge Ignacio
1
Infante, Arturo
1
Jourdain, Benjamin
1
Kyprianou, A.E.
1
Mijatovi´c, Aleksandar
1
Mijatović, Aleksandar
1
Sbai, Mohamed
1
Scheichl, R.
1
Schweizer, Nikolaus
1
Suryanarayana, G.
1
Uribe Bravo, Gerónimo
1
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1
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Finance and stochastics
3
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2
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1
Insurance / Mathematics & economics
1
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1
Operations Research Perspectives
1
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1
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ECONIS (ZBW)
11
RePEc
3
EconStor
1
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1
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
González Cázares, Jorge
;
Mijatovi´c, Aleksandar
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 671-732
Persistent link: https://www.econbiz.de/10013440249
Saved in:
2
Efficient propagation of uncertainties in manufacturing supply chains: Time buckets, L-leap, and
multilevel
Monte
Carlo
methods
Chiang, Nai-Yuan
;
Lin, Yiqing
;
Long, Quan
- In:
Operations Research Perspectives
7
(
2020
),
pp. 1-15
bucket. We propose using the
multilevel
Monte
Carlo
(MLMC) method to efficiently propagate the uncertainties in a supply …
Persistent link: https://www.econbiz.de/10012662806
Saved in:
3
Efficient propagation of uncertainties in manufacturing supply chains: time buckets, L-leap, and
multilevel
Monte
Carlo
methods
Chiang, Nai-Yuan
;
Lin, Yiqing
;
Long, Quan
- In:
Operations research perspectives
7
(
2020
),
pp. 1-15
bucket. We propose using the
multilevel
Monte
Carlo
(MLMC) method to efficiently propagate the uncertainties in a supply …
Persistent link: https://www.econbiz.de/10012198079
Saved in:
4
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:
5
On the effective dimension and
multilevel
Monte
Carlo
Kahalé, Nabil
- In:
Operations research letters
50
(
2022
)
4
,
pp. 415-421
Persistent link: https://www.econbiz.de/10013364126
Saved in:
6
Geometrically convergent simulation of the extrema of Lévy processes
González Cázares, Jorge Ignacio
;
Mijatović, Aleksandar
; …
- In:
Mathematics of operations research
47
(
2022
)
2
,
pp. 1141-1168
Persistent link: https://www.econbiz.de/10013365090
Saved in:
7
Multilevel
Monte-Carlo
for computing the SCR with the standard formula and other stress tests
Alfonsi, Aurélien
;
Cherchali, Adel
;
Infante, Arturo
- In:
Insurance / Mathematics & economics
100
(
2021
),
pp. 234-260
Persistent link: https://www.econbiz.de/10012622391
Saved in:
8
General
multilevel
Monte
Carlo
methods for pricing discretely monitored Asian options
Kahalé, Nabil
- In:
European journal of operational research : EJOR
287
(
2020
)
2
,
pp. 739-748
Persistent link: https://www.econbiz.de/10012293946
Saved in:
9
Unbiased estimators and
multilevel
Monte
Carlo
Vihola, Matti
- In:
Operations research
66
(
2018
)
2
,
pp. 448-462
Persistent link: https://www.econbiz.de/10011845993
Saved in:
10
High order discretization schemes for stochastic volatility models
Jourdain, Benjamin
;
Sbai, Mohamed
-
HAL
-
2013
theoretical rates of convergence by numerical experiments and show that our schemes are well adapted to the
multilevel
Monte
Carlo
…
Persistent link: https://www.econbiz.de/10010736427
Saved in:
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