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Monte Carlo simulation
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Bayer, Christian
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Tempone, Raúl
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Quantitative finance
Journal of econometrics
313
Economics letters
229
SpringerLink / Bücher
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Working paper / National Bureau of Economic Research, Inc.
168
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
137
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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69
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67
Econometric reviews
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Journal of applied econometrics
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Lehrbuch
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Scandinavian journal of statistics : SJS ; theory and applications
66
European journal of operational research : EJOR
63
CEMMAP working papers / Centre for Microdata Methods and Practice
61
The journal of computational finance
57
Contributions to economic analysis
56
Discussion paper
55
Working paper / Department of Econometrics and Business Statistics, Monash University
50
Advances in econometrics
47
Oxford bulletin of economics and statistics
44
Economic modelling
43
International journal of theoretical and applied finance
42
Journal of economic dynamics & control
42
Metrika : international journal for theoretical and applied statistics
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Springer eBook Collection
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International journal of forecasting
39
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The review of economics and statistics
39
Discussion paper / Humboldt-Universität zu Berlin, SFB 649 Economic Risk
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ECONIS (ZBW)
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1
A fast algorithm for simulation of rough volatility models
Ma, Jingtang
;
Wu, Haofei
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 447-462
Persistent link: https://www.econbiz.de/10013167769
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2
Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes
Fukasawa, Masaaki
;
Hirano, Asuto
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1127-1146
Persistent link: https://www.econbiz.de/10012588025
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3
Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme
Shinozaki, Yuji
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1147-1161
Persistent link: https://www.econbiz.de/10012588029
Saved in:
4
Pairs trading with general state space models
Zhang, Guang
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1567-1587
Persistent link: https://www.econbiz.de/10012624158
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5
Artificial neural network for option pricing with and without asymptotic correction
Funahashi, Hideharu
- In:
Quantitative finance
21
(
2021
)
4
,
pp. 575-592
Persistent link: https://www.econbiz.de/10012483840
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6
Pricing high-dimensional American options by kernel ridge regression
Hu, Wenbin
;
Zastawniak, Tomasz
- In:
Quantitative finance
20
(
2020
)
5
,
pp. 851-865
Persistent link: https://www.econbiz.de/10012262630
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7
Turbocharging Monte Carlo pricing for the rough Bergomi model
McCrickerd, Ryan
;
Pakkanen, Mikko S.
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1877-1886
Persistent link: https://www.econbiz.de/10012262858
Saved in:
8
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
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9
A Bayesian encompassing test using combined value-at-risk estimates
Tsiotas, Georgios
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 395-417
Persistent link: https://www.econbiz.de/10011906387
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10
Smoothing the payoff for efficient computation of basket option prices
Bayer, Christian
;
Siebenmorgen, Markus
;
Tempone, Raul
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 491-505
Persistent link: https://www.econbiz.de/10011906403
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