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Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.; Koopman, Siem Jan; Ooms, Marius - In: Econometric reviews 35 (2016) 1/4, pp. 659-687
Persistent link: https://www.econbiz.de/10011550112
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Importance sampling for option Greeks with discontinuous payoffs
Tong, Shaolong; Liu, Guangwu - In: INFORMS journal on computing : JOC 28 (2016) 2, pp. 223-235
Persistent link: https://www.econbiz.de/10011489268
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Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - In: Journal of econometrics 217 (2020) 2, pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
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Improved variance reduced Monte-Carlo simulation of in-the-money options
Müller, Armin - In: Journal of mathematical finance 6 (2016) 3, pp. 361-367
Persistent link: https://www.econbiz.de/10011583475
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An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
Xie, Fei; He, Zhijian; Wang, Xiaoqun - In: European journal of operational research : EJOR 274 (2019) 2, pp. 759-772
Persistent link: https://www.econbiz.de/10011990222
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Rare-event simulation for distribution networks
Blanchet, Jose; Li, Juan; Nakayama, Marvin K. - In: Operations research 67 (2019) 5, pp. 1383-1396
Persistent link: https://www.econbiz.de/10012107789
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Efficient simulation of value-at-risk under a jump diffusion model : a new method for moderate deviation events
Fuh, Cheng-Der; Teng, Huei-Wen; Wang, Ren-Her - In: Computational economics 51 (2018) 4, pp. 973-990
Persistent link: https://www.econbiz.de/10011972209
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Joint Bayesian analysis of oarameters and states in nonlinear non‐Gaussian state space models
Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - In: Journal of applied econometrics 32 (2017) 5, pp. 1003-1026
Persistent link: https://www.econbiz.de/10011862307
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Monte Carlo payoff smoothing for pricing autocallable instruments
Koster, Frank; Rehmet, Achim - In: The journal of computational finance 21 (2017/2018) 4, pp. 59-77
Persistent link: https://www.econbiz.de/10011848407
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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