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Variance reduction with array-RQMC for Tau-Leaping simulation of stochastic biological and chemical reaction networks
Puchhammer, Florian; Ben Abdellah, Amal; L'Ecuyer, Pierre - 2021
Persistent link: https://www.econbiz.de/10012599478
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An improved averaged two-replication procedure with Latin hypercube sampling
Bayraksan, Güzin - In: Operations research letters 46 (2018) 2, pp. 173-178
Persistent link: https://www.econbiz.de/10011824808
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Automatic differentiation for diffusion operator integral variance reduction
Auster, Johan - In: The journal of computational finance 25 (2022) 4, pp. 27-53
Persistent link: https://www.econbiz.de/10014546286
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Efficient solution of backward jump-diffusion partial integro-differential equations with splitting and matrix exponentials
Itkin, Andrey - In: The journal of computational finance 19 (2016) 3, pp. 29-70
Persistent link: https://www.econbiz.de/10011563465
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On the reliability estimation of stochastic binary systems
Cancela, Héctor; Murray, Leslie; Robledo, Franco; … - In: International transactions in operational research : a … 29 (2022) 3, pp. 1688-1722
Persistent link: https://www.econbiz.de/10012795876
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Importance sampling in stochastic programming : a Markov chain Monte Carlo approach
Parpas, Panos; Ustun, Berk; Webster, Mort; Tran, Quang Kha - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 358-377
Persistent link: https://www.econbiz.de/10011291297
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Randomized smoothing variance reduction method for large-scale non-smooth convex optimization
Huang, Wenjie; Zhang, Xun - In: Operations research forum 2 (2021) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10012589765
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A generative adversarial network approach to calibration of local stochastic volatility models
Cuchiero, Christa; Khosrawi, Wahid; Teichmann, Josef - In: Risks : open access journal 8 (2020) 4/101, pp. 1-31
We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in particular the ad hoc interpolation of the volatility surface. To achieve this, we parametrize the leverage function by a family of feed-forward neural networks and learn their...
Persistent link: https://www.econbiz.de/10012373082
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A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston-Cox-Ingersoll-Ross model
Cozma, Andrei; Reisinger, Christoph - In: The journal of computational finance 20 (2016/2017) 3, pp. 109-149
Persistent link: https://www.econbiz.de/10011689688
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A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
Dang, Duy Minh; Jackson, Kenneth R.; Sues, Scott - In: Applied mathematical finance 24 (2017) 3/4, pp. 175-215
Persistent link: https://www.econbiz.de/10011815225