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Small diffusion asymptotics for discretely sampled stochastic differential equations

Sørensen, Michael (contributor); … - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001660122

The Gibbs Sampler with Particle Efficient Importance Sampling for State-Space Models

Grothe, Oliver - 2017

Monte Carlo (MC) approximation of the standard Gibbs procedure which uses sequential MC (SMC) importance sampling inside the … generic and easily implementable SMC approach known as Particle Efficient Importance Sampling (PEIS). By using SMC importance … sampling densities which are approximately fully globally adapted to the targeted density of the states, PEIS can substantially …

Persistent link: https://www.econbiz.de/10012970355

Importance sampling for weighted-serve-the-longest-queue

Dupuis, Paul; Leder, Kevin; Wang, Hui - In: Mathematics of operations research 34 (2009) 3, pp. 642-660

Persistent link: https://www.econbiz.de/10003892602

Warrant pricing under GARCH diffusion model

Wu, Xin-yu; Ma, Chao-qun; Wang, Shouyang - In: Economic modelling 29 (2012) 6, pp. 2237-2244

Persistent link: https://www.econbiz.de/10009673781

Numerical analysis of volatility change point estimators for discretely sampled stochastic differential equations

Iacus, Stefano Maria; Yoshida, Nakahiro - In: Economic notes : economic review of Banca Monte dei … 39 (2010) 1/2, pp. 107-127

Persistent link: https://www.econbiz.de/10008826253

Efficient estimation of conditionally linear and Gaussian state space models

Moura, Guilherme Valle; Turatti, Douglas Eduardo - In: Economics letters 124 (2014) 3, pp. 494-499

Persistent link: https://www.econbiz.de/10010495099

Parametric inference for discretely sampled stochastic differential equations

Sørensen, Michael - In: Handbook of financial time series, (pp. 531-553). 2009

Persistent link: https://www.econbiz.de/10003834179

Importance sampling for backward SDEs

Bendera, Christian; Moseler, Thilo - 2008

In this paper we explain how the importance sampling technique can be generalized from simulating expectations to … success of the generalized importance sampling is illustrated by numerical examples in the context of Asian option pricing …

Persistent link: https://www.econbiz.de/10003877018

A closed-form approximation of likelihood functions for discretely sampled diffusions : the exponent expansion

Capriotti, Luca - In: New econometric modelling research, (pp. 187-215). 2008

Persistent link: https://www.econbiz.de/10003694090

Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models

Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 114-127

Persistent link: https://www.econbiz.de/10011389921