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subject:"Schätzung"
~person:"Wang, Xiaoqun"
~subject:"Makroökonometrie"
~subject:"Monte Carlo simulation"
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Schätzung
Makroökonometrie
Monte Carlo simulation
Monte-Carlo-Simulation
6
Simulation
6
Option pricing theory
5
Optionspreistheorie
5
Derivat
2
Derivative
2
Dimension reduction
2
Option trading
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Optionsgeschäft
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Quasi-Monte Carlo
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Quasi-Monte Carlo methods
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Smoothing
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American option pricing
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Derivative pricing
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Discrete barrier option
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Duality approach
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Experiment
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Financial Engineering
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Financial engineering
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Greece
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Greeks
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Griechenland
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Hedging
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Importance sampling
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Least squares Monte Carlo
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Option pricing
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Preismanagement
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Pricing strategy
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Principal component analysis
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Taylor approximation
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Wirkungsanalyse
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discontinuity
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effective dimension
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finance
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financial engineering
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option pricing
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path simulation method
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quasi-Monte Carlo methods
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Wang, Xiaoqun
Berka, Martin
10
Devereux, Michael B.
10
Geweke, John
10
Joshi, Mark S.
10
Koopman, Siem Jan
10
Lux, Thomas
10
Heike, Hans-Dieter
9
Roson, Roberto
9
Buch, Claudia M.
8
Winker, Peter
8
Advani, Arun
7
Gilli, Manfred
7
Graafland, Johan J.
7
McCallum, Bennett T.
7
Stentoft, Lars
7
Słoczyński, Tymon
7
Breuss, Fritz
6
Dijk, Herman K. van
6
Engel, Charles
6
Franz, Wolfgang
6
Keane, Michael P.
6
Kleijnen, Jack P. C.
6
Mancini, Loriano
6
Neck, Reinhard
6
Onishi, Akira
6
Piazolo, Daniel
6
Symansky, Steven A.
6
Creedy, John
5
Donaldson, John B.
5
Dufour, Jean-Marie
5
Fair, Ray C.
5
Fries, Christian P.
5
Fu, Michael
5
Garbinti, Bertrand
5
Kitagawa, Toru
5
Maliar, Lilia
5
Maliar, Serguei
5
Mehra, Rajnish
5
Meyer, Bernd
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Computational economics
2
European journal of operational research : EJOR
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Operations research
1
Quantitative finance
1
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1
An integrated Quasi-Monte Carlo method for handling high dimensional problems with discontinuities in financial engineering
He, Zhijian
;
Wang, Xiaoqun
- In:
Computational economics
57
(
2021
)
2
,
pp. 693-718
Persistent link: https://www.econbiz.de/10012486953
Saved in:
2
Primal-dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
Xiang, Jiangming
;
Wang, Xiaoqun
- In:
Quantitative finance
20
(
2020
)
10
,
pp. 1701-1720
Persistent link: https://www.econbiz.de/10012313503
Saved in:
3
Enhancing quasi-Monte Carlo simulation by minimizing effective dimension for derivative pricing
Xiao, Ye
;
Wang, Xiaoqun
- In:
Computational economics
54
(
2019
)
1
,
pp. 343-366
Persistent link: https://www.econbiz.de/10012134177
Saved in:
4
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
Saved in:
5
Handling discontinuities in financial engineering : good path simulation and smoothing
Wang, Xiaoqun
- In:
Operations research
64
(
2016
)
2
,
pp. 297-314
Persistent link: https://www.econbiz.de/10011485479
Saved in:
6
Pricing and hedging with discontinuous functions : quasi-Monte Carlo methods and dimensions reduction
Wang, Xiaoqun
;
Tan, Ken Seng
- In:
Management science : journal of the Institute for …
59
(
2013
)
2
,
pp. 376-389
Persistent link: https://www.econbiz.de/10009713876
Saved in:
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