Search Results - subject:"Conditional Monte Carlo"

First and second generation lookback and barrier options : enhancing pricing accuracy through Conditional Monte Carlo

Giribone, Pier Giuseppe; Tropiano, Federico - In: Risk management magazine 19 (2024) 3, pp. 4-27

focus on the limitations of standard Monte Carlo simulations and the advantages provided by Conditional Monte Carlo methods …. The Conditional Monte Carlo method is then applied to address the bias introduced by discrete monitoring intervals in the …

Persistent link: https://www.econbiz.de/10015371430

Variance reduction for generalized likelihood ratio method by conditional Monte Carlo and randomized Quasi-Monte Carlo methods

Peng, Yijie; Fu, Michael; Hu, Jiaqiao; L'Ecuyer, Pierre; … - In: Journal of management science and engineering 7 (2022) 4, pp. 550-577

practice. Moreover, we combine GLR with conditional Monte Carlo methods and randomized quasi-Monte Carlo methods to reduce the …

Persistent link: https://www.econbiz.de/10014315671

Copula sensitivity analysis for portfolio credit derivatives

Lei, Lei; Peng, Yijie; Fu, Michael; Hu, Jian-Qiang - In: European journal of operational research : EJOR 308 (2023) 1, pp. 455-466

Persistent link: https://www.econbiz.de/10014283065

Monte carlo and quasi-Monte carlo density estimation via conditioning

L'Ecuyer, Pierre; Puchhammer, Florian; Ben Abdellah, Amal - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 3, pp. 1729-1748

Persistent link: https://www.econbiz.de/10013361837

Estimating the probability that a function observed with noise is convex

Jian, Nanjing; Henderson, Shane G. - In: INFORMS journal on computing : JOC 32 (2020) 2, pp. 376-389

Persistent link: https://www.econbiz.de/10012242767

Rare-event simulation for distribution networks

Blanchet, Jose; Li, Juan; Nakayama, Marvin K. - In: Operations research 67 (2019) 5, pp. 1383-1396

Persistent link: https://www.econbiz.de/10012107789

Fast and accurate computation of the distribution of sums of dependent log-normals

Botev, Zdravko I.; Salomone, Robert; Mackinlay, Daniel - 2019

Persistent link: https://www.econbiz.de/10012116201

Optimization under supplier portfolio risk considering breach of contract and market risks

Wu, Qi; Sak, Halis; Seshadri, Sridhar; Haksoz, Cagri - In: Risk and decision analysis 7 (2018) 3/4, pp. 77-89

Persistent link: https://www.econbiz.de/10012174430

A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston-Cox-Ingersoll-Ross model

Cozma, Andrei; Reisinger, Christoph - In: The journal of computational finance 20 (2016/2017) 3, pp. 109-149

Persistent link: https://www.econbiz.de/10011689688

Portfolio credit risk model with extremal dependence of defaults and random recovery

Jeon, Jong-June; Kim, Sunggon; Lee, Yonghee - In: The journal of credit risk : published quarterly by … 13 (2017) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10011777675