Search Results - subject:"Sparse grid"

Sample and computationally efficient stochastic kriging in high dimensions

Ding, Liang; Zhang, Xiaowei - In: Operations research 72 (2024) 2, pp. 660-683

Persistent link: https://www.econbiz.de/10014520867

Optimal damping with a hierarchical adaptive quadrature for efficient Fourier pricing of multi-asset options in Lévy models

Bayer, Christian; Ben Hammouda, Chiheb; Papapantoleon, … - In: The journal of computational finance : JFC 27 (2023) 3, pp. 43-86

Persistent link: https://www.econbiz.de/10014487037

Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing

Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl - In: Quantitative finance 23 (2023) 2, pp. 209-227

Persistent link: https://www.econbiz.de/10014232621

Designed quadrature to approximate integrals in maximum simulated likelihood estimation

Bansal, Prateek; Keshavarzzadeh, Vahid; Guevara, Angelo; … - In: The econometrics journal 25 (2022) 2, pp. 301-321

Persistent link: https://www.econbiz.de/10013253833

A nonlinear certainty equivalent approximation method for dynamic stochastic problems

Cai, Yongyang; Judd, Kenneth L.; Steinbuks, Jevgenijs - In: Quantitative economics : QE ; journal of the … 8 (2017) 1, pp. 117-147

This paper introduces a nonlinear certainty-equivalent approximation method for dynamic stochastic problems. We first introduce a novel, stable, and efficient method for computing the decision rules in deterministic dynamic economic problems. We use the results as nonlinear and global...

Persistent link: https://www.econbiz.de/10011800948

A nonlinear certainty equivalent approximation method for dynamic stochastic problems

Cai, Yongyang; Judd, Kenneth L.; Steinbuks, Jevgenijs - In: Quantitative economics : QE ; journal of the … 8 (2017) 1, pp. 117-147

Persistent link: https://www.econbiz.de/10011804831

A nonlinear certainty equivalent approximation method for dynamic stochastic problems

Cai, Yongyang; Judd, Kenneth L.; Steinbuks, Jevgenijs - In: Quantitative Economics 8 (2017) 1, pp. 117-147

Persistent link: https://www.econbiz.de/10011995484

Multivariate stochastic volatility estimation with sparse grid integration

Esen, Halil Erturk - In: Journal of mathematical finance 6 (2016) 1, pp. 68-81

Persistent link: https://www.econbiz.de/10011543122

Smolyak method for solving dynamic economic models : lagrange interpolation, anisotropic grid and adaptive domain

Judd, Kenneth L.; Maliar, Lilia; Maliar, Serguei; … - In: Journal of economic dynamics & control 44 (2014), pp. 92-123

Persistent link: https://www.econbiz.de/10010470074

Elicitation of multiattribute value functions through high dimensional model representations

Beccacece, Francesca; Borgonovo, Emanuele; Buzzard, Greg; … - 2013 - This version: September 17, 2013

Persistent link: https://www.econbiz.de/10011814367