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Handling discontinuities in financial engineering : good path simulation and smoothing
Wang, Xiaoqun - In: Operations research 64 (2016) 2, pp. 297-314
Persistent link: https://www.econbiz.de/10011485479
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An integrated Quasi-Monte Carlo method for handling high dimensional problems with discontinuities in financial engineering
He, Zhijian; Wang, Xiaoqun - In: Computational economics 57 (2021) 2, pp. 693-718
Persistent link: https://www.econbiz.de/10012486953
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Enhancing quasi-Monte Carlo simulation by minimizing effective dimension for derivative pricing
Xiao, Ye; Wang, Xiaoqun - In: Computational economics 54 (2019) 1, pp. 343-366
Persistent link: https://www.econbiz.de/10012134177
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Randomized dimension reduction for Monte Carlo simulations
Kahalé, Nabil - In: Management science : journal of the Institute for … 66 (2020) 3, pp. 1421-1439
Persistent link: https://www.econbiz.de/10012234611
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Localization and exact simulation of Brownian motion-driven stochastic differential equations
Chen, Nan; Huang, Zhengyu - In: Mathematics of operations research 38 (2013) 3, pp. 591-616
Persistent link: https://www.econbiz.de/10009787357
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Importance sampling for jump-diffusions via cross-entropy
Rieke, Rebecca; Sun, Weifeng; Wang, Hui - In: The journal of computational finance 22 (2018) 1, pp. 107-130
Persistent link: https://www.econbiz.de/10011890185
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Calibration and simulation of arbitrage effects in a non-equilibrium quantum black-scholes model by using semi-classical methods
Contreras, Mauricio; Pellicer, Rely; Santiagos, Daniel; … - In: Journal of mathematical finance 6 (2016) 4, pp. 541-561
Persistent link: https://www.econbiz.de/10011656953
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Numerical simulation and applications of the convection-diffusion-reaction equation with the radial basis function in a finite-difference mode
Mollapourasl, Reza; Haghi, Majid; Heryudono, Alfa - In: The journal of computational finance 23 (2020) 5, pp. 33-73
Persistent link: https://www.econbiz.de/10012295864
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Fast Monte Carlo simulation for pricing equity-linked securities
Jang, Hanbyeol; Kim, Sangkwon; Han, Junhee; Lee, Seongjin; … - In: Computational economics 56 (2020) 4, pp. 865-882
Persistent link: https://www.econbiz.de/10012390481
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Hybrid scheme for Brownian semistationary processes
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - In: Finance and stochastics 21 (2017) 4, pp. 931-965
Persistent link: https://www.econbiz.de/10011944457