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~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
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Search: subject_exact:"Monte-Carlo-Methode"
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Monte Carlo simulation
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
Journal of econometrics
133
Discussion paper / Tinbergen Institute
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Computational economics
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Economics letters
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64
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1
Detecting money market bubbles
Baldeaux, Jan
;
Ignatieva, Ekaterina
;
Platen, Eckhard
-
2016
Persistent link: https://www.econbiz.de/10011778131
Saved in:
2
A Monte Carlo method using PDE expansions for a diversifed equity index model
Heath, David C.
;
Platen, Eckhard
-
2014
Persistent link: https://www.econbiz.de/10011344801
Saved in:
3
Investigating time-efficient methods to price compound options in the Heston Model
Chiarella, Carl
;
Griebsch, Susanne
;
Kang, Boda
-
2013
Persistent link: https://www.econbiz.de/10009744645
Saved in:
4
Quasi- Monte Carol methods for the Heston model
Baldeaux, Jan
;
Roberts, Dale
-
2012
Persistent link: https://www.econbiz.de/10009564454
Saved in:
5
Asset pricing under keeping up with the Joneses and heterogeneous beliefs
He, Xue-zhong
;
Shi, Lei
;
Zheng, Min
-
2012
Persistent link: https://www.econbiz.de/10009564469
Saved in:
6
Particle filters for Markov switching stochastic volatility models
Yun, Bao
;
Chiarella, Carl
;
Kang, Boda
-
2012
Persistent link: https://www.econbiz.de/10009564477
Saved in:
7
Pricing interest rate derivatives in a multifactor HJM model with time dependent volatility
Beyna, Ingo
;
Chiarella, Carl
;
Kang, Boda
-
2012
Persistent link: https://www.econbiz.de/10009632002
Saved in:
8
The evaluation of barrier option prices under stochastic volatility
Chiarella, Carl
;
Kang, Boda
;
Meyer, Gunter H.
-
2010
Persistent link: https://www.econbiz.de/10008662205
Saved in:
9
Option valuation in multivariate SABR models
Kienitz, Jörg
;
Wittke, Manuel
-
2010
Persistent link: https://www.econbiz.de/10008662187
Saved in:
10
Modelling and estimating the forward price curve in the energy market
Chiarella, Carl
;
Chewlow, Les
;
King, Boda
-
2009
Persistent link: https://www.econbiz.de/10008662359
Saved in:
11
Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2009
Persistent link: https://www.econbiz.de/10008662364
Saved in:
12
The evaluation of American compound option prices under stochastic volatility using the sparse grid approach
Chiarella, Carl
;
Kang, Boda
-
2009
Persistent link: https://www.econbiz.de/10003857524
Saved in:
13
Pricing financial derivatives on weather sensitive assets
Filar, Jerzy A.
;
Kang, Boda
;
Korolkiewicz, Malgorzata
-
2008
Persistent link: https://www.econbiz.de/10003857122
Saved in:
14
A stylised model for extreme shocks : four moments of the apocalypse
Brace, Alan
;
Lauer, Mark
;
Rado, Milo
-
2008
Persistent link: https://www.econbiz.de/10003857123
Saved in:
15
Distributional deviations in random number generation in finance
Chavez, Sergio
;
Platen, Eckhard
-
2008
Persistent link: https://www.econbiz.de/10003857127
Saved in:
16
Modelling the evolution of credit spreads using the Cox process within the HUM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2008
Persistent link: https://www.econbiz.de/10003857131
Saved in:
17
Heterogeneity, bounded rationality and market dysfunctionality
He, Xue-zhong
;
Shi, Lei
-
2008
Persistent link: https://www.econbiz.de/10003857147
Saved in:
18
On the numerical stability of simulation methods for SDES
Platen, Eckhard
;
Shi, Lei
-
2008
Persistent link: https://www.econbiz.de/10003857152
Saved in:
19
Robust Bayesian analysis of loss reserves data using the generalized-t distribution
Chan, Jennifer S. K.
;
Choy, S. T. Boris
;
Makov, Udi E.
-
2007
Persistent link: https://www.econbiz.de/10003685206
Saved in:
20
A control variate method for Monte Carlo simulations of Heath-Jarrow-Morton models with jumps
Chiarella, Carl
;
Nikitopoulos, Christina Sklibosios
; …
-
2005
Persistent link: https://www.econbiz.de/10003194455
Saved in:
21
A hardware generator of multi-point distributed random numbers for Monte Carlo simulation
Bruti-Liberati, Nicola
;
Martini, Filippo
;
Piccardi, Massimo
-
2005
Persistent link: https://www.econbiz.de/10002863383
Saved in:
22
On the efficiency of simplified weak Taylor schemes for Monte Carlo simulation in finance
Liberati, Nicola Bruti
;
Platen, Eckhard
-
2004
Persistent link: https://www.econbiz.de/10002250960
Saved in:
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