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  • Search: subject:"Variance Reduction"
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Year of publication
Subject
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variance reduction 83 Monte Carlo simulation 61 Variance reduction 57 Monte-Carlo-Simulation 48 Varianzanalyse 33 Analysis of variance 31 Optionspreistheorie 31 Option pricing theory 30 Theorie 27 Simulation 25 Theory 25 Stochastic process 23 Stochastischer Prozess 23 simulation 17 Sampling 16 Stichprobenerhebung 16 Estimation theory 15 Schätztheorie 15 control variates 14 Monte Carlo 13 Monte Carlo methods 12 importance sampling 12 Volatility 11 Volatilität 11 variance reduction techniques 11 Option trading 10 Optionsgeschäft 10 Variance Reduction 9 option pricing 9 Mathematical programming 8 Mathematische Optimierung 8 variance reduction technique 8 Latin hypercube sampling 7 Portfolio selection 7 Portfolio-Management 7 Risikomaß 7 Derivat 6 Derivative 6 Option pricing 6 Risk measure 6
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Online availability
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Undetermined 115 Free 52 CC license 2
Type of publication
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Article 145 Book / Working Paper 41 Other 1
Type of publication (narrower categories)
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Article in journal 63 Aufsatz in Zeitschrift 63 Working Paper 15 Arbeitspapier 11 Graue Literatur 11 Non-commercial literature 11 Article 4 research-article 3 conceptual-paper 2 Audio- / visual Ressource 1 Aufsatz im Buch 1 Book section 1 Conference paper 1 Hochschulschrift 1 Konferenzbeitrag 1 Thesis 1 technical-paper 1
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Language
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English 98 Undetermined 87 Czech 1 Russian 1
Author
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Calzolari, Giorgio 8 Nelson, Barry L. 7 Einmahl, John H. J. 4 Glasserman, Paul 4 Weihs, Claus 4 Chen, Ye 3 Hoogerheide, Lennart 3 Kahalé, Nabil 3 Lai, Yongzeng 3 Packham, Natalie 3 Platen, Eckhard 3 Schmidt, Wolfgang M. 3 Yu, Jun 3 Ahmed, Hanan 2 Auster, Johan 2 Cancela, Héctor 2 Chen, Wei 2 Chiu, Yu-Fen 2 Cuchiero, Christa 2 Dang, Duy Minh 2 Dijk, Herman K. van 2 Disney, Stephen M. 2 Donohue, Joan M. 2 Farasyn, Ingrid 2 Fiorentini, Gabriele 2 Heath, David 2 Houck, Ernest C. 2 Hsieh, Ming-Hua 2 Hsu, Jason C. 2 Jackson, Kenneth R. 2 Khosrawi, Wahid 2 Kim, Tae-Hwan 2 Korn, Ralf 2 L'Ecuyer, Pierre 2 Lambrecht, Marc R. 2 Lee, Yi-Hsi 2 Lemieux, Christiane 2 Li, Lin 2 Makatis, G. 2 Minh, Do Le 2
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Institution
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Facoltà di Economia, Università degli Studi dell'Insubria 3 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 3 Finance Discipline Group, Business School 2 School of Economics, Singapore Management University 2 Department of Economics and Business, Universitat Pompeu Fabra 1 Department of Economics, University of Birmingham 1 Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze 1 EconWPA 1 Frankfurt School of Finance and Management 1 HAL 1 Indira Gandhi Institute of Development Research (IGIDR) 1 Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1 Instituto Valenciano de Investigaciones Económicas (IVIE) 1 International Institute of Social and Economic Sciences 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Tinbergen Instituut 1 Université Paris-Dauphine (Paris IX) 1
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Published in...
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Management Science 27 International Journal of Theoretical and Applied Finance (IJTAF) 6 The journal of computational finance 6 Mathematics and Computers in Simulation (MATCOM) 5 Asia-Pacific Financial Markets 4 Discussion paper / Center for Economic Research, Tilburg University 4 Finance and Stochastics 4 International journal of theoretical and applied finance 4 Applied mathematical finance 3 Economics and Quantitative Methods 3 European journal of operational research : EJOR 3 INFORMS journal on computing : JOC 3 MPRA Paper 3 Operations research letters 3 Quantitative finance 3 Annals of the Institute of Statistical Mathematics 2 Applied Mathematical Finance 2 CPQF Working Paper Series 2 Computers & operations research : and their applications to problems of world concern ; an international journal 2 European Journal of Industrial Engineering 2 Journal of mathematical finance 2 Research Paper Series / Finance Discipline Group, Business School 2 The North American journal of economics and finance : a journal of financial economics studies 2 Working Papers / School of Economics, Singapore Management University 2 AMSE Working Papers 1 Annals of financial economics 1 Applied Econometrics 1 Applied economics 1 CoFE Discussion Paper 1 Computational Economics 1 Computational Statistics 1 Computational Statistics & Data Analysis 1 Computational economics 1 Discussion Papers / Department of Economics, University of Birmingham 1 Discussion paper / Tinbergen Institute 1 Discussion papers / Department of Economics, The University of Birmingham 1 Econometric reviews 1 Econometrics Journal 1 Econometrics Working Papers Archive 1 Economia Internazionale / International Economics 1
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Source
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RePEc 95 ECONIS (ZBW) 76 EconStor 8 Other ZBW resources 6 BASE 2
Showing 71 - 80 of 187
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A modelling framework for improving supply chain delivery performance
Ngniatedema, Thomas; Chen, Lihua; Guiffrida, Alfred L. - In: International journal of business performance and … 8 (2016) 2, pp. 79-96
Persistent link: https://www.econbiz.de/10011643205
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Faster comparison of stopping times by nested conditional Monte Carlo
Dickmann, Fabian; Schweizer, Nikolaus - In: The journal of computational finance 20 (2016) 2, pp. 101-123
Persistent link: https://www.econbiz.de/10011656716
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Volatility and the Hedging Effectiveness of China Fuel Oil Futures
Chen, Wei; Ford, J L - Department of Economics, University of Birmingham - 2010
dominates in terms of variance reduction. …
Persistent link: https://www.econbiz.de/10008542348
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Volatility and the hedging effectiveness of China fuel oil futures
Chen, Wei; Ford, James L. - 2010
Persistent link: https://www.econbiz.de/10009374212
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Stock index futures hedging in the emerging Malaysian market
Pok, Wee Ching; Poshakwale, Sunil S.; Ford, J. L. - 2009
–covariance structures to obtain hedging ratios. Performance of models is compared in terms of variance reduction and expected utility levels …
Persistent link: https://www.econbiz.de/10009462958
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The Bayesian Causal Effect Estimation Algorithm
Talbot, Denis; Lefebvre, Geneviève; Atherton, Juli - In: Journal of Causal Inference 3 (2015) 2, pp. 207-236
Abstract Estimating causal exposure effects in observational studies ideally requires the analyst to have a vast knowledge of the domain of application. Investigators often bypass difficulties related to the identification and selection of confounders through the use of fully adjusted outcome...
Persistent link: https://www.econbiz.de/10014610819
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Optimal jackknife for unit root models
Chen, Ye; Yu, Jun - In: Statistics & Probability Letters 99 (2015) C, pp. 135-142
A new jackknife method is introduced to remove the first order bias in unit root models. It is optimal in the sense that it minimizes the variance among all the jackknife estimators of the form considered in Phillips and Yu (2005) and Chambers and Kyriacou (2013) after the number of subsamples...
Persistent link: https://www.econbiz.de/10011208314
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Extreme negative dependence and risk aggregation
Wang, Bin; Wang, Ruodu - In: Journal of Multivariate Analysis 136 (2015) C, pp. 12-25
We introduce the concept of an extremely negatively dependent (END) sequence of random variables with a given common marginal distribution. An END sequence has a partial sum which, subtracted by its mean, does not diverge as the number of random variables goes to infinity. We show that an END...
Persistent link: https://www.econbiz.de/10011208475
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The effectiveness of international diversification : whole markets versus sectors
Moosa, Imad A.; Tawadros, George B.; Hallahan, Terry A. - In: Applied economics 47 (2015) 4/6, pp. 614-622
Persistent link: https://www.econbiz.de/10010464738
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A new variance reduction technique for estimating value-at-risk
Korn, Ralf; Pupashenko, Mykhailo - In: Applied mathematical finance 22 (2015) 1/2, pp. 83-98
Persistent link: https://www.econbiz.de/10010505164
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