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  • Search: subject:"Path integration"
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Year of publication
Subject
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(G)AEP algorithm 2 Aggregation of risk 2 Copula 2 Dependence 2 Expected shortfall 2 Path integration 2 Sums of random variables 2 Value-at-risk 2 path integration 2 Barrier options 1 Bessel and CEV diffusion processes 1 Discrete monitoring 1 Monte Carlo methods 1 Multivariate Verteilung 1 Multivariate distribution 1 Numerical path integration 1 Option pricing 1 Probability theory 1 Quantum computation 1 Random variable 1 Risiko 1 Risikomanagement 1 Risikomaß 1 Risk 1 Risk management 1 Risk measure 1 Statistical distribution 1 Statistische Verteilung 1 Theorie 1 Theory 1 Time series analysis 1 Wahrscheinlichkeitsrechnung 1 Zeitreihenanalyse 1 Zufallsvariable 1 bridge sampling algorithms 1 computational complexity 1 hypergeometric 1 quantum summation 1 qubits 1 variance reduction 1
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Undetermined 3
Type of publication
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Article 4 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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Undetermined 4 English 1
Author
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Gijbels, Irène 2 Herrmann, Klaus 2 CAMPOLIETI, GIUSEPPE 1 MAKAROV, ROMAN 1 Naess, Arvid 1 Skaug, Christian 1 Traub, Joseph F. 1 Wozniakowski, Henryk 1
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Institution
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Santa Fe Institute 1
Published in...
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Computational Economics 1 Insurance 1 Insurance: Mathematics and Economics 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 Working Papers / Santa Fe Institute 1
Source
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RePEc 4 ECONIS (ZBW) 1
Showing 1 - 5 of 5
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On the distribution of sums of random variables with copula-induced dependence
Gijbels, Irène; Herrmann, Klaus - In: Insurance: Mathematics and Economics 59 (2014) C, pp. 27-44
, as well as this conditional expectation. A comparison with the most common competitors shows that the discussed Path … Integration algorithm is the most suitable method for computing these quantities. In our example, we apply the theory to compute …
Persistent link: https://www.econbiz.de/10011116644
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On the distribution of sums of random variables with copula-induced dependence
Gijbels, Irène; Herrmann, Klaus - In: Insurance 59 (2014), pp. 27-44
Persistent link: https://www.econbiz.de/10010469189
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Fast and accurate pricing of discretely monitored barrier options by numerical path integration
Skaug, Christian; Naess, Arvid - In: Computational Economics 30 (2007) 2, pp. 143-151
Persistent link: https://www.econbiz.de/10005674131
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PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE
CAMPOLIETI, GIUSEPPE; MAKAROV, ROMAN - In: International Journal of Theoretical and Applied … 10 (2007) 01, pp. 51-88
This paper develops bridge sampling path integral algorithms for pricing path-dependent options under a new class of nonlinear state dependent volatility models. Path-dependent option pricing is considered within a new (dual) Bessel family of semimartingale diffusion models, as well as the...
Persistent link: https://www.econbiz.de/10004971811
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Path Integration on a Quantum Computer
Traub, Joseph F.; Wozniakowski, Henryk - Santa Fe Institute - 2001
We study path integration on a quantum computer that performs quantum summation. We assume that the measure of path … least Lipschitz. We prove: 1. Path integration on a quantum computer is tractable. 2. Path integration on a quantum computer … integration is Gaussian, with the eigenvalues of its covariance operator of order j^{-k} with k>1. For the Wiener measure …
Persistent link: https://www.econbiz.de/10005740003
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