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Importance sampling in the presence of PD-LGD correlation
Metzler, Adam; Scott, Alexandre - In: Risks : open access journal 8 (2020) 1/25, pp. 1-36
This paper seeks to identify computationally efficient importance sampling (IS) algorithms for estimating large … importance sampling to estimate large deviation probabilities in those models. Numerical evidence indicates that the proposed …
Persistent link: https://www.econbiz.de/10012203783
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Importance sampling for option Greeks with discontinuous payoffs
Tong, Shaolong; Liu, Guangwu - In: INFORMS journal on computing : JOC 28 (2016) 2, pp. 223-235
Persistent link: https://www.econbiz.de/10011489268
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An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
Xie, Fei; He, Zhijian; Wang, Xiaoqun - In: European journal of operational research : EJOR 274 (2019) 2, pp. 759-772
Persistent link: https://www.econbiz.de/10011990222
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Portfolio credit risk model with extremal dependence of defaults and random recovery
Jeon, Jong-June; Kim, Sunggon; Lee, Yonghee - In: The journal of credit risk : published quarterly by … 13 (2017) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10011777675
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A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro; Takahashi, Akihiko - In: European journal of operational research : EJOR 258 (2017) 1, pp. 358-371
Persistent link: https://www.econbiz.de/10011642221
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Kolmogorov backward equations with singular diffusion matrices
Singer, Hermann - 2019
Persistent link: https://www.econbiz.de/10012149431
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Finite Gaussian mixture approximations to analytically intractable density Kernels
Khorunzhina, Natalia; Richard, Jean-François - In: Computational economics 53 (2019) 3, pp. 991-1017
Persistent link: https://www.econbiz.de/10012135106
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Importance sampling for jump-diffusions via cross-entropy
Rieke, Rebecca; Sun, Weifeng; Wang, Hui - In: The journal of computational finance 22 (2018) 1, pp. 107-130
Persistent link: https://www.econbiz.de/10011890185
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Efficient simulation of value-at-risk under a jump diffusion model : a new method for moderate deviation events
Fuh, Cheng-Der; Teng, Huei-Wen; Wang, Ren-Her - In: Computational economics 51 (2018) 4, pp. 973-990
Persistent link: https://www.econbiz.de/10011972209
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Nearly exact option price simulation using characteristic functions
Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10009685897