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Search: subject:"Stochastic collocation"
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Stochastic process
7
Stochastischer Prozess
7
Option pricing theory
6
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5
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5
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stochastic collocation
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arbitrage-free
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artificial neural network
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large time step simulation
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numerical scheme
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path-dependent options
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risk neutral density
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stochastic collocation Monte Carlo sampler
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stochastic differential equations
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Collocating volatility
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Oosterlee, Cornelis Willebrordus
8
Grzelak, Lech A.
4
Le Floc'h, Fabien
3
Liu, Shuaiqiang
2
Bayer, Christian
1
Congedo, Pietro
1
Iaccarino, Gianluca
1
Le Floc’h, Fabien
1
Siebenmorgen, Markus
1
Stoep, Anthonie W. van der
1
Suárez-Taboada, M.
1
Tempone, Raul
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Witteveen, Jeroen
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ECONIS (ZBW)
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1
The seven-league scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations
Liu, Shuaiqiang
;
Grzelak, Lech A.
;
Oosterlee, Cornelis …
- In:
Risks
10
(
2022
)
3
,
pp. 1-27
accurately determined
stochastic
collocation
(SC) points. By employing an artificial neural network to learn these SC points, we …
Persistent link: https://www.econbiz.de/10013200937
Saved in:
2
The seven-league scheme : deep learning for large time step Monte Carlo simulations of stochastic differential equations
Liu, Shuaiqiang
;
Grzelak, Lech A.
;
Oosterlee, Cornelis …
- In:
Risks : open access journal
10
(
2022
)
3
,
pp. 1-27
accurately determined
stochastic
collocation
(SC) points. By employing an artificial neural network to learn these SC points, we …
Persistent link: https://www.econbiz.de/10013093086
Saved in:
3
Model-free
stochastic
collocation
for an arbitrage-free implied volatility, part II
Le Floc’h, Fabien
;
Oosterlee, Cornelis Willebrordus
- In:
Risks
7
(
2019
)
1
,
pp. 1-21
This paper explores the
stochastic
collocation
technique, applied on a monotonic spline, as an arbitrage-free and model …
Persistent link: https://www.econbiz.de/10013200448
Saved in:
4
Model-free
stochastic
collocation
for an arbitrage-free implied volatility, part II
Le Floc'h, Fabien
;
Oosterlee, Cornelis Willebrordus
- In:
Risks : open access journal
7
(
2019
)
1/30
,
pp. 1-21
This paper explores the
stochastic
collocation
technique, applied on a monotonic spline, as an arbitrage-free and model …
Persistent link: https://www.econbiz.de/10012015886
Saved in:
5
Numerical techniques for the Heston collocated volatility model
Le Floc'h, Fabien
;
Oosterlee, Cornelis Willebrordus
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 59-110
Persistent link: https://www.econbiz.de/10012544158
Saved in:
6
Collocating volatility : a competitive alternative to stochastic local volatility models
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012496758
Saved in:
7
The
stochastic
collocation
Monte Carlo sampler : highly efficient sampling from "expensive" distributions
Grzelak, Lech A.
;
Witteveen, J. A. S.
;
Suárez-Taboada, M.
- In:
Quantitative finance
19
(
2019
)
2
,
pp. 339-356
Persistent link: https://www.econbiz.de/10012194657
Saved in:
8
Model-free
stochastic
collocation
for an arbitrage-free implied volatility, part I
Le Floc'h, Fabien
;
Oosterlee, Cornelis Willebrordus
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 679-714
Persistent link: https://www.econbiz.de/10012127314
Saved in:
9
Smoothing the payoff for efficient computation of basket option prices
Bayer, Christian
;
Siebenmorgen, Markus
;
Tempone, Raul
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 491-505
Persistent link: https://www.econbiz.de/10011906403
Saved in:
10
A simplex-based numerical framework for simple and efficient robust design optimization
Congedo, Pietro
;
Witteveen, Jeroen
;
Iaccarino, Gianluca
- In:
Computational Optimization and Applications
56
(
2013
)
1
,
pp. 231-251
The Simplex
Stochastic
Collocation
(SSC) method is an efficient algorithm for uncertainty quantification (UQ) in …
Persistent link: https://www.econbiz.de/10010998344
Saved in:
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