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Variance reduction for risk measures with importance sampling in nested simulation
Xing, Yue; Sit, Tony; Wong, Hoi Ying - In: Quantitative finance 22 (2022) 4, pp. 657-673
Persistent link: https://www.econbiz.de/10013367849
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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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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
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Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl - In: Quantitative finance 23 (2023) 2, pp. 209-227
Persistent link: https://www.econbiz.de/10014232621
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Simulation-based Value-at-Risk for nonlinear portfolios
Chen, Junyao; Sit, Tony; Wong, Hoi Ying - In: Quantitative finance 19 (2019) 10, pp. 1639-1658
Persistent link: https://www.econbiz.de/10012194812
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Estimation of risk contributions with MCMC
Koike, Takaaki; Minami, Mihoko - In: Quantitative finance 19 (2019) 9, pp. 1579-1597
Persistent link: https://www.econbiz.de/10012194808
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Option hedging using LSTM-RNN : an empirical analysis
Zhang, Junhuan; Huang, Wenjun - In: Quantitative finance 21 (2021) 10, pp. 1753-1772
Persistent link: https://www.econbiz.de/10012653710
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Hedging error as generalized timing risk
Akahori, J.; Barsotti, F.; Imamura, Y. - In: Quantitative finance 23 (2023) 4, pp. 693-703
Persistent link: https://www.econbiz.de/10014304316
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The stochastic collocation Monte Carlo sampler : highly efficient sampling from "expensive" distributions
Grzelak, Lech A.; Witteveen, J. A. S.; Suárez-Taboada, M. - In: Quantitative finance 19 (2019) 2, pp. 339-356
Persistent link: https://www.econbiz.de/10012194657
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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