Search Results - subject:"monte carlo methods"

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Importance sampling for jump processes and applications to finance

Kassim, Laetitia Badouraly; Lelong, Jérôme; … - HAL - 2013

Adaptive importance sampling techniques are widely known for the Gaussian setting of Brownian driven diffusions. In this work, we want to extend them to jump processes. Our approach relies on a change of the jump intensity combined with the standard exponential tilting for the Brownian motion....

Persistent link: https://www.econbiz.de/10010721445

Portfolio optimization for American options

Zeng, Yaxiong; Klabjan, Diego - In: The journal of computational finance 22 (2018) 3, pp. 37-64

Persistent link: https://www.econbiz.de/10011988191

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

Optimal investment strategies for general utilities under dynamic elasticity of variance models

Li, Wenyuan; Ma, Jingtang - In: Quantitative finance 18 (2018) 8, pp. 1379-1388

Persistent link: https://www.econbiz.de/10011911546

Bayesian Nonparametric Instrumental Variable Regression based on Penalized Splines and Dirichlet Process Mixtures

Wiesenfarth, Manuel; Hisgen, Carlos Matías; Kneib, Thomas - 2012

We propose a Bayesian nonparametric instrumental variable approach that allows us to correct for endogeneity bias in regression models where the covariate effects enter with unknown functional form. Bias correction relies on a simultaneous equations speci cation with flexible modeling of the...

Persistent link: https://www.econbiz.de/10010330008

Generating Random Optimising Choices

Heufer, Jan - 2012

This paper provides an efficient way to generate a set of random choices on a set of budgets which satisfy the Generalised Axiom of Revealed Preferences (GARP), that is, they are consistent with utility maximisation. The choices are drawn from an approximate uniform distribution on the...

Persistent link: https://www.econbiz.de/10010287336

What (Really) Accounts for the Fall in Hours After a Technology Shock?

Rebei, Nooman - International Monetary Fund (IMF) - 2012

The paper asks how state of the art DSGE models that account for the conditional response of hours following a positive neutral technology shock compare in a marginal likelihood race. To that end we construct and estimate several competing small-scale DSGE models that extend the standard real...

Persistent link: https://www.econbiz.de/10010790268

Quasi-Monte Carol Methods for the Heston Model

Baldeaux, Jan; Roberts, Dale - Finance Discipline Group, Business School - 2012

In this paper, we discuss the application of quasi-Monte Carlo methods to the Heston model. We base our algorithms on … improve the effectiveness of quasi-Monte Carlo methods, cannot be employed in the context of path-dependent options when the … underlying price process follows the Heston model. Consequently, we tailor quasi-Monte Carlo methods directly to the Heston model …

Persistent link: https://www.econbiz.de/10010883500

Bayesian Nonparametric Instrumental Variable Regression based on Penalized Splines and Dirichlet Process Mixtures

Wiesenfarth, Manuel; Hisgen, Carlos Matías; Kneib, Thomas - Courant Research Centre PEG - 2012

Persistent link: https://www.econbiz.de/10010583161

Generating Random Optimising Choices

Heufer, Jan - Rheinisch-Westfälisches Institut für … - 2012

Persistent link: https://www.econbiz.de/10010558559