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Sensitivity estimates for portfolio credit derivatives using Monte Carlo
Chen, Zhiyong; Glasserman, Paul - In: Finance and stochastics 12 (2008) 4, pp. 507-540
Persistent link: https://www.econbiz.de/10003899268
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Quasi-Monte Carlo methods with applications in finance
L'Ecuyer, Pierre - In: Finance and stochastics 13 (2009) 3, pp. 307-349
Persistent link: https://www.econbiz.de/10003899308
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Adjoint-based Monte Carlo calibration of financial market models
Kaebe, C.; Maruhn, J. H.; Sachs, Ekkehard - In: Finance and stochastics 13 (2009) 3, pp. 351-379
Persistent link: https://www.econbiz.de/10003899315
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On irregular functionals of SDEs and the Euler scheme
Avikainen, Rainer - In: Finance and stochastics 13 (2009) 3, pp. 381-401
Persistent link: https://www.econbiz.de/10003899316
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Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
Giles, Michael B.; Higham, Desmond J.; Mao, Xuerong - In: Finance and stochastics 13 (2009) 3, pp. 403-413
Persistent link: https://www.econbiz.de/10003899321
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A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
Ninomiya, Mariko; Ninomiya, Syoiti - In: Finance and stochastics 13 (2009) 3, pp. 415-443
Persistent link: https://www.econbiz.de/10003899325
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Basket CDS pricing with interacting intensities
Zheng, Harry; Jiang, Lishang - In: Finance and stochastics 13 (2009) 3, pp. 445-469
Persistent link: https://www.econbiz.de/10003899327
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Interacting particle systems for the computation of rare credit portfolio losses
Carmona, René; Fouque, Jean-Pierre; Vestal, Douglas - In: Finance and stochastics 13 (2009) 4, pp. 613-633
Persistent link: https://www.econbiz.de/10003899538
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Additive and multiplicative duals for American option pricing
Chen, Nan; Glasserman, Paul - In: Finance and stochastics 11 (2007) 2, pp. 153-179
Persistent link: https://www.econbiz.de/10003439750
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Bias-correcting the realized range-based variance in the presence of market microstructure noise
Christensen, Kim; Podolskij, Mark; Vetter, Mathias - In: Finance and stochastics 13 (2009) 2, pp. 239-268
Persistent link: https://www.econbiz.de/10003939513