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Search: subject:"quasi-Monte Carlo"
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Monte Carlo simulation
41
Monte-Carlo-Simulation
40
Quasi-Monte Carlo
40
Option pricing theory
26
Optionspreistheorie
26
Simulation
22
quasi-Monte Carlo
19
Stochastic process
14
Stochastischer Prozess
14
Monte Carlo
13
Theorie
11
Theory
11
Quasi-Monte Carlo method
10
Numerical integration
8
Option trading
8
Optionsgeschäft
8
Quasi-Monte Carlo methods
8
Estimation theory
7
Greeks
7
Option pricing
7
Schätztheorie
7
Variance reduction
6
Volatility
6
Volatilität
6
option pricing
6
quasi-Monte Carlo methods
6
Markov chain
5
Monte Carlo method
5
Quasi Monte Carlo
5
Quasi-Monte Carlo integration
5
(t
4
American options
4
Antithetic draws
4
Derivat
4
Derivative
4
Dimension reduction
4
Discrepancy
4
Greece
4
Griechenland
4
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4
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Undetermined
81
Free
30
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Article
100
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23
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41
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9
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6
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64
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57
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1
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Wang, Xiaoqun
8
Winker, Peter
8
L'Ecuyer, Pierre
6
Andersen, Laura Mørch
4
Cools, Ronald
4
Franz, Wolfgang
4
Göggelmann, Klaus
4
Sabino, Piergiacomo
4
Schellhorn, Martin
4
Vandewoestyne, Bart
4
Bayer, Christian
3
He, Zhijian
3
Lai, Yongzeng
3
L’Ecuyer, P.
3
Schmid, Wolfgang Ch.
3
Ben Abdellah, Amal
2
Ben Hammouda, Chiheb
2
Benhamou, Eric
2
Bottasso, Anna
2
Butt, Adam
2
Chi, Hongmei
2
Fang, Kai-Tai
2
Fazelabdolabadi, Babak
2
Fukushima, Masao
2
Fusaro, Michelangelo
2
Giribone, Pier Giuseppe
2
Khemka, Gaurav
2
Lemieux, Christiane
2
Li, Lin
2
Lin, Gui-Hua
2
Lomas, J.
2
L’Ecuyer, Pierre
2
Ninomiya, Syoiti
2
Puchhammer, Florian
2
Rice, N.
2
Schürer, Rudolf
2
Shi, Xiang
2
Sobol, I.M.
2
Tan, Ken Seng
2
Tempone, Raúl
2
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Department of Economics and Related Studies, University of York
2
EconWPA
2
Institut for Fødevare- og Ressourceøkonomi, Københavns Universitet
2
Society for Computational Economics - SCE
2
Erasmus University Rotterdam, Econometric Institute
1
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
1
Finance Discipline Group, Business School
1
Tilburg University, Center for Economic Research
1
Zentrum für Europäische Wirtschaftsforschung (ZEW)
1
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Mathematics and Computers in Simulation (MATCOM)
27
Quantitative finance
8
Computational economics
6
Management Science
6
European journal of operational research : EJOR
3
IFRO Working Paper
3
Asia-Pacific Financial Markets
2
Computational Economics
2
Decisions in Economics and Finance
2
Finance
2
Health, Econometrics and Data Group (HEDG) Working Papers
2
International journal of financial engineering
2
Les cahiers du GERAD
2
Operations research letters
2
Stata Journal
2
Transportation Research Part B: Methodological
2
ZEW Discussion Papers
2
Annals of financial economics
1
Annals of operations research ; volume 280, numbers 1/2 (September 2019)
1
Applied Mathematical Finance
1
Applied economics letters
1
Asia-Pacific financial markets
1
Computational Management Science
1
Computational Statistics
1
Computing in Economics and Finance 2001
1
Computing in Economics and Finance 2002
1
Decisions in economics and finance : DEF ; a journal of applied mathematics
1
Discussion Paper / Tilburg University, Center for Economic Research
1
Econometric Institute Report
1
Econometric Institute Research Papers
1
Empirical Economics
1
FOI Working Paper
1
Finance and Stochastics
1
Finance research letters
1
Financial Innovation
1
Financial innovation : FIN
1
Health economics
1
INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences
1
Insurance / Mathematics & economics
1
International Journal of Theoretical and Applied Finance (IJTAF)
1
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RePEc
65
ECONIS (ZBW)
50
EconStor
6
BASE
1
Other ZBW resources
1
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21
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21
Non-parametric integral estimation using data clustering in stochastic dynamic programming: An introduction using lifetime financial modelling
Khemka, Gaurav
;
Butt, Adam
- In:
Risks
5
(
2017
)
4
,
pp. 1-17
least losses in result accuracy compared to quadrature and
Quasi-Monte
Carlo
approaches, using historical data as a base …
Persistent link: https://www.econbiz.de/10011996552
Saved in:
22
Improving approximate Bayesian computation via
quasi
Monte
Carlo
Buchholz, Alexander
;
Chopin, Nicolas
-
2017
Persistent link: https://www.econbiz.de/10012198654
Saved in:
23
Non-parametric integral estimation using data clustering in stochastic dynamic programming : an introduction using lifetime financial modelling
Khemka, Gaurav
;
Butt, Adam
- In:
Risks : open access journal
5
(
2017
)
4
,
pp. 1-17
least losses in result accuracy compared to quadrature and
Quasi-Monte
Carlo
approaches, using historical data as a base …
Persistent link: https://www.econbiz.de/10011783516
Saved in:
24
An efficient variance reduction-based simulation algorithm for pricing arithmetic Asian options
Mehrdoust, Farshid
;
Noorani, Idin
- In:
Annals of financial economics
15
(
2020
)
1
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012642935
Saved in:
25
Note on pairwise negative dependence of randomly shifted and jittered rank-1 lattices
Wnuk, Marcin
;
Gnewuch, Michael
- In:
Operations research letters
48
(
2020
)
4
,
pp. 410-414
Persistent link: https://www.econbiz.de/10012294754
Saved in:
26
Preserving bidder privacy in assignment auctions : design and measurement
Liu, De
;
Bagh, Adib
- In:
Management science : journal of the Institute for …
66
(
2020
)
7
,
pp. 3162-3182
Persistent link: https://www.econbiz.de/10012268677
Saved in:
27
Hierarchical adaptive sparse grids and
quasi-Monte
Carlo
for option pricing under the rough Bergomi model
Bayer, Christian
;
Ben Hammouda, Chiheb
;
Tempone, Raúl
- In:
Quantitative finance
20
(
2020
)
9
,
pp. 1457-1473
Persistent link: https://www.econbiz.de/10012295614
Saved in:
28
Quasi-Monte
Carlo
-based conditional pathwise method for option Greeks
Zhang, Chaojun
;
Wang, Xiaoqun
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 49-67
Persistent link: https://www.econbiz.de/10012194854
Saved in:
29
Primal-dual
quasi-Monte
Carlo
simulation with dimension reduction for pricing American options
Xiang, Jiangming
;
Wang, Xiaoqun
- In:
Quantitative finance
20
(
2020
)
10
,
pp. 1701-1720
Persistent link: https://www.econbiz.de/10012313503
Saved in:
30
A second-order discretization with Malliavin weight and
Quasi-Monte
Carlo
method for option pricing
Yamada, Toshihiro
;
Yamamoto, Kenta
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1825-1837
Persistent link: https://www.econbiz.de/10012313518
Saved in:
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