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American option sensitivities estimation via a generalized infinitesimal perturbation analysis approach
Chen, Nan; Liu, Yanchu - In: Operations research 62 (2014) 3, pp. 616-632
Persistent link: https://www.econbiz.de/10010381847
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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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Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
The field of computational finance is evolving ever faster. This book collects a number of novel contributions on the use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use of numerical methods for pricing, hedging, and risk...
Persistent link: https://www.econbiz.de/10012309311
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Efficient and exact simulation of the Gaussian affine interest rate models
Ostrovski, Vladimir - In: International journal of financial engineering 3 (2016) 2, pp. 1-11
Persistent link: https://www.econbiz.de/10011577107
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Geometrically convergent simulation of the extrema of Lévy processes
González Cázares, Jorge Ignacio; Mijatović, Aleksandar; … - In: Mathematics of operations research 47 (2022) 2, pp. 1141-1168
Persistent link: https://www.econbiz.de/10013365090
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An introduction to understanding and teaching within-cluster correlation in complex surveys
Barreto, Humberto; Raghav, Manu - In: Eastern economic journal 43 (2017) 4, pp. 727-728
Persistent link: https://www.econbiz.de/10012244036
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Various versatile variances : an object-oriented implementation of clustered covariances in R
Berger, Susanne; Graham, Nathaniel; Zeileis, Achim - 2017
methods' performance in a simulation study. …
Persistent link: https://www.econbiz.de/10011697332
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A risk-sensitive approach for stressed transition probability matrixes
Perilioglu, Ahmet; Perilioglu, Karina; Tuysuz, Sukriye - In: The journal of risk model validation 12 (2018) 3, pp. 51-74
Persistent link: https://www.econbiz.de/10011991970
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Simulation-optimization via kriging and bootstrapping : a survey
Kleijnen, Jack P. C. - 2013 - Revision of CentER DP 2011-064
Persistent link: https://www.econbiz.de/10010228792
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Bootstrap methods for inference in the Parks model
Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2019
data and seemingly unrelated regression equation systems because it allows the incorporation of cross-sectional correlation … together with heteroskedasticity and serial correlation. Unfortunately, the associated, asymptotic standard error estimates are …
Persistent link: https://www.econbiz.de/10012018487