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~isPartOf:"Computational economics"
~subject:"Option pricing"
~subject:"Risk management"
~subject:"Volatilität"
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Option pricing
Risk management
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Monte Carlo simulation
62
Monte-Carlo-Simulation
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Theorie
23
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23
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21
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11
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1
Nonparametric test for volatility in clustered multiple time series
Barrios, Erniel B.
;
Redondo, Paolo Victor T.
- In:
Computational economics
63
(
2024
)
2
,
pp. 861-876
Persistent link: https://www.econbiz.de/10014475068
Saved in:
2
An application of the IFM method for the risk assessment of financial instruments
Pons, Adrià
;
Cristobal-Fransi, Eduard
;
Vintrò, Carla
; …
- In:
Computational economics
61
(
2023
)
1
,
pp. 295-315
Persistent link: https://www.econbiz.de/10014228427
Saved in:
3
Importance sampling for calculating the Value-at-Risk and expected shortfall of the quadratic portfolio with t-distributed risk factors
Teng, Huei-Wen
- In:
Computational economics
62
(
2023
)
3
,
pp. 1125-1154
Persistent link: https://www.econbiz.de/10014382887
Saved in:
4
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu
;
McAleer, Michael
- In:
Computational economics
59
(
2022
)
1
,
pp. 103-123
Persistent link: https://www.econbiz.de/10013168928
Saved in:
5
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:
6
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:
7
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:
8
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:
9
Fast Monte Carlo simulation for pricing equity-linked securities
Jang, Hanbyeol
;
Kim, Sangkwon
;
Han, Junhee
;
Lee, Seongjin
; …
- In:
Computational economics
56
(
2020
)
4
,
pp. 865-882
Persistent link: https://www.econbiz.de/10012390481
Saved in:
10
Option implied risk-neutral density estimation : a robust and flexible method
Kundu, Arindam
;
Kumar, Sumit
;
Tomar, Nutan Kumar
- In:
Computational economics
54
(
2019
)
2
,
pp. 705-728
Persistent link: https://www.econbiz.de/10012134345
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