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subject:"Stochastischer Prozess"
~isPartOf:"Computational economics"
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Search: subject_exact:"Monte Carlo method"
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Stochastischer Prozess
Monte Carlo simulation
62
Monte-Carlo-Simulation
62
Theorie
23
Theory
23
Estimation theory
21
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21
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Computational economics
Discussion paper / Tinbergen Institute
16
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International journal of theoretical and applied finance
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Computers & operations research : and their applications to problems of world concern ; an international journal
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1
Quasi-Monte Carlo-based conditional Malliavin method for continuous-time Asian option Greeks
Yu, Chao
;
Wang, Xiaoqun
- In:
Computational economics
62
(
2023
)
1
,
pp. 325-360
Persistent link: https://www.econbiz.de/10014327500
Saved in:
2
Bayesian inference for mixed Gaussian GARCH-type model by Hamiltonian Monte Carlo algorithm
Liang, Rubing
;
Qin, Binbin
;
Xia, Qiang
- In:
Computational economics
63
(
2024
)
1
,
pp. 193-220
Persistent link: https://www.econbiz.de/10014472071
Saved in:
3
Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Mozumder, Sharif
;
Choudhry, Taufiq
;
Dempsey, Michael
- In:
Computational economics
57
(
2021
)
4
,
pp. 1287-1305
Persistent link: https://www.econbiz.de/10012543312
Saved in:
4
Bayesian estimation for high-frequency volatility models in a time deformed framework
Santos, Antonio A. F.
- In:
Computational economics
57
(
2021
)
2
,
pp. 455-479
Persistent link: https://www.econbiz.de/10012486920
Saved in:
5
Wavelet estimation performance of fractional integrated processes with heavy-tails
Boubaker, Heni
- In:
Computational economics
55
(
2020
)
2
,
pp. 473-498
Persistent link: https://www.econbiz.de/10012223642
Saved in:
6
A testing procedure for constant parameters in stochastic volatility models
Hoyo, Juan del
;
Llorente, Guillermo
;
Rivero, Carlos
- In:
Computational economics
56
(
2020
)
1
,
pp. 163-186
Persistent link: https://www.econbiz.de/10012272023
Saved in:
7
Finite Gaussian mixture approximations to analytically intractable density Kernels
Khorunzhina, Natalia
;
Richard, Jean-François
- In:
Computational economics
53
(
2019
)
3
,
pp. 991-1017
Persistent link: https://www.econbiz.de/10012135106
Saved in:
8
Bayesian testing for leverage effect in stochastic volatility models
Zhang, Jin-Yu
;
Chen, Zhong-Tian
;
Li, Yong
- In:
Computational economics
53
(
2019
)
3
,
pp. 1153-1164
Persistent link: https://www.econbiz.de/10012135124
Saved in:
9
Simulation solution to a two-dimensional mortgage refinancing problem
Xie, Dejun
;
Zhang, Nan
;
Edwards, David A.
- In:
Computational economics
52
(
2018
)
2
,
pp. 479-492
Persistent link: https://www.econbiz.de/10012052963
Saved in:
10
Efficient simulation of value-at-risk under a jump diffusion model : a new method for moderate deviation events
Fuh, Cheng-Der
;
Teng, Huei-Wen
;
Wang, Ren-Her
- In:
Computational economics
51
(
2018
)
4
,
pp. 973-990
Persistent link: https://www.econbiz.de/10011972209
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