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Importance sampling for option pricing with feedforward neural networks

Arandjelović, Aleksandar; Rheinländer, Thorsten; … - In: Finance and stochastics 29 (2025) 1, pp. 97-141

Persistent link: https://www.econbiz.de/10015394776

Adaptive importance sampling estimation of an open economy model with fiscal policy

Grassi, Stefano; Lorusso, Marco; Ravazzolo, Francesco - 2025

Persistent link: https://www.econbiz.de/10015372979

Simulation smoothing for state space models : an extremum Monte Carlo approach

Moussa, Karim - 2025

This paper introduces a novel approach to simulation smoothing for nonlinear and non-Gaussian state space models. It allows for computing smoothed estimates of the states and nonlinear functions of the states, as well as visualizing the joint smoothing distribution. The approach combines...

Persistent link: https://www.econbiz.de/10015404318

A sequential importance sampling for estimating multi-period tail risk

Seo, Ye-Ji; Kim, Sunggon - In: Risks : open access journal 12 (2024) 12, pp. 1-22

. To overcome this shortcoming, we propose a sequential importance sampling, which is a modification of CMC. In the … VaRs and ESs by the proposed method, and to compare the performance of the proposed sequential importance sampling with CMC. …

Persistent link: https://www.econbiz.de/10015328727

Advantages of accounting for stochasticity in the premium process

Miao, Yang; Sendova, Kristina P. - In: Risks : open access journal 12 (2024) 10, pp. 1-25

obtaining the probability of ultimate ruin based on importance sampling, which does not require specific distributions for the …

Persistent link: https://www.econbiz.de/10015130492

Scenario sampling for large supermodular games

Graham, Bryan S.; Pelican, Andrin - 2023

-reject Monte Carlo integration, are computationally impractical in such settings. In contrast, we introduce a novel importance … sampling algorithm which allows for accurate likelihood simulation with modest numbers of simulation draws. …

Persistent link: https://www.econbiz.de/10014480510