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Reduced basis methods for option pricing and calibration

Burkovska, Olena - 2016

Persistent link: https://www.econbiz.de/10012545679

Deep learning for solving dynamic economic models.

Maliar, Lilia; Maliar, Serguei; Winant, Pablo - In: Journal of monetary economics 122 (2021), pp. 76-101

Persistent link: https://www.econbiz.de/10013269349

First-order sensitivity of the optimal value in a Markov decision model with respect to deviations in the transition probability function

Kern, Patrick; Simroth, Axel; Zähle, Henryk - In: Mathematical methods of operations research : ZOR 92 (2020) 1, pp. 165-197

Persistent link: https://www.econbiz.de/10012301681

Complexity reduction for calibration to American options

Burkovska, Olena; Glau, Kathrin; Mahlstedt, Mirco; … - In: The journal of computational finance 23 (2019) 1, pp. 25-60

Persistent link: https://www.econbiz.de/10012064981

Calibration to American options : numerical investigation of the de-Americanization method

Burkovska, O.; Gass, M.; Glau, Kathrin; Mahlstedt, M.; … - In: Quantitative finance 18 (2018) 7, pp. 1091-1113

Persistent link: https://www.econbiz.de/10011911523

State reduction and second-order perturbations of heterogeneous agent models

Reiter, Michael - 2023

This paper develops a method to compute second-order perturbations of discretetime heterogeneous agent models. It addresses the three main tasks to make secondorder approximations tractable: state reduction, generating sufficient smoothness, and fast computation of the quadratic terms in the...

Persistent link: https://www.econbiz.de/10014329924