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isPartOf:"International journal of theoretical and applied finance"
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Search: subject_exact:"Monte Carlo method"
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Monte Carlo simulation
42
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42
Option pricing theory
28
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Stochastic process
12
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International journal of theoretical and applied finance
Journal of econometrics
128
Economics letters
65
Computational economics
62
European journal of operational research : EJOR
61
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
56
Econometric reviews
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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The journal of computational finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The econometrics journal
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International journal of forecasting
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Journal of risk and financial management : JRFM
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Applied economics letters
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Finance and stochastics
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Energy economics
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Insurance / Mathematics & economics
25
Journal of the American Statistical Association : JASA
22
Econometric theory
21
International journal of production research
21
Journal of forecasting
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Oxford bulletin of economics and statistics
21
Econometrics : open access journal
20
Finance research letters
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Journal of banking & finance
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Journal of risk
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Applied mathematical finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Operations research
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Journal of empirical finance
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The North American journal of economics and finance : a journal of financial economics studies
14
INFORMS journal on computing : JOC
13
Organizational research methods : ORM
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ECONIS (ZBW)
42
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1
Branching particle pricers with heston examples
Kouritzin, Michael A.
;
MacKay, Anne
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012270887
Saved in:
2
Volatility and liquidity on high-frequency electricity futures markets : empirical analysis and stochastic modeling
Kremer, Marcel
;
Benth, Fred Espen
;
Felten, Björn
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
4
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012271026
Saved in:
3
Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-49
Persistent link: https://www.econbiz.de/10012019776
Saved in:
4
Conditional Monte Carlo scheme for stable greeks of worst-of autocallable notes
Rakhmonov, Firuz
;
Rakhmonov, Parviz
- In:
International journal of theoretical and applied finance
22
(
2019
)
6
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012153309
Saved in:
5
Numerical stability of a hybrid method for pricing options
Briani, Maya
;
Caramellino, Lucia
;
Terenzi, Giulia
; …
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-46
Persistent link: https://www.econbiz.de/10012153319
Saved in:
6
American option pricing with regression : convergence analysis
Liu, Chen
;
Schellhorn, Henry
;
Peng, Qidi
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012183261
Saved in:
7
XVA principles, nested Monte Carlo strategies, and GPU optimizations
Abbas-Turki, Lokman A.
;
Crépey, Stéphane
;
Diallo, Babacar
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-40
Persistent link: https://www.econbiz.de/10011926570
Saved in:
8
Explicit Heston solutions and stochastic approximation for path-dependent option pricing
Kouritzin, Michael A.
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-45
Persistent link: https://www.econbiz.de/10011846484
Saved in:
9
On the calculation of risk measures using least-squares Monte Carlo
Benedetti, Giuseppe
- In:
International journal of theoretical and applied finance
20
(
2017
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011686897
Saved in:
10
The valuation of self-funding instalment warrants
Dewynne, Jeff N.
;
Hassan, Nadima el
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-48
Persistent link: https://www.econbiz.de/10011687010
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