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Pricing and Risk Management with Stochastic Volatility Using Importance Sampling

Stilger, Przemyslaw Stan - 2014

Abstract In this paper, we apply importance sampling to Heston's stochastic volatility model and Bates's stochastic … volatility model with jumps. We propose an effective numerical scheme that dramatically improves the speed of importance sampling … combining it with importance sampling leads to a significant variance reduction for the Greeks. All results are illustrated …

Persistent link: https://www.econbiz.de/10013065164

Modeling fund and portfolio risk : a bi-modal approach to analyzing risk in turbulent markets

Karagiannidis, Iordanis; Wilford, D. S. - In: Review of financial economics : RFE 25 (2015), pp. 19-26

Persistent link: https://www.econbiz.de/10011498207

Efficient willow tree method for variable annuities valuation and risk management

Dong, Bing; Xu, Wei; Šević, Aleksandar; Šević, Željko - In: International review of financial analysis 68 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012301004

Efficient pricing of high-dimensional American-style derivatives : a robust regression Monte Carlo method

Jonen, Christian - 2011

Persistent link: https://www.econbiz.de/10010204985

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

Assessing asset-liability risk with neural networks

Cheridito, Patrick; Ery, John; Wüthrich, Mario V. - In: Risks : open access journal 8 (2020) 1/16, pp. 1-17

We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem that is particularly challenging if the portfolio...

Persistent link: https://www.econbiz.de/10012203982