SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Financial Applications of Monte Carlo and Quasi-Monte Carlo Methods
14 references·1 citing·34 second hop
Financial Applications of Monte Carlo and Quasi-Monte Carlo Methods (1998)Financial Applications of Monte Carlo and…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …An Introduction to the Mathematics of Financial Derivatives (2014)An Introduction to the Mathem…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)A Comparison of Three Methods…Mathematics of Derivative Securities (1998)Mathematics of Derivative Sec…Monte Carlo methods for security pricing (1997)Monte Carlo methods for secur…Mathematics of Derivative Securities (1997)Mathematics of Derivative Sec…An introduction to the mathematics of financial derivatives (1997)An introduction to the mathem…Quasi-Monte Carlo Methods in Numerical Finance (1996)Quasi-Monte Carlo Methods in …Uniform Random Numbers (1995)Uniform Random NumbersGradient Estimation via Perturbation Analysis (1991)Gradient Estimation via Pertu…Stochastic Simulation (1987)Stochastic SimulationOptions: A Monte Carlo approach (1977)Options: A Monte Carlo approa…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Evaluating of path-dependent securities with low discrepancy methods (2004)Evaluating of path-dependent …Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Pricing American-style securities using simulation (1997)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Measuring Market Risk (2005)Theory of Rational Option Pricing (1973)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)THE GARCH OPTION PRICING MODEL (1995)Theory of rational option pricing (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Decision Making Under Uncertainty—Real Options to the Rescue? (2002)A theory of non-Gaussian option pricing (2007)Between arbitrage and speculation: an economy of belief and doubt (2007)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)Optimization for Simulation: Theory vs. Practice (2002)Proceedings of the 2002 Winter Simulation Conference (2002)Simulation optimization: a review of algorithms and applications (2015)Optimal Consumption and Portfolio Selection with Stochastic Differential Utility (1999)Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility (2002)A review of techniques for parameter sensitivity analysis of environmental models (1994)Importance measures in global sensitivity analysis of nonlinear models (1996)Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems (2003)Impulse response analysis in nonlinear multivariate models (1996)Model-Based Geostatistics (1998)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2000A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code8,233 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1987Stochastic Simulation2,240 cited
  • 1977Options: A Monte Carlo approach1,341 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 1991Gradient Estimation via Perturbation Analysis707 cited
  • 1998Mathematics of Derivative Securities337 cited
  • 2014An Introduction to the Mathematics of Financial Derivatives325 cited
  • 1996Quasi-Monte Carlo Methods in Numerical Finance243 cited
  • 1997An introduction to the mathematics of financial derivatives214 cited
  • 1995Uniform Random Numbers196 cited
  • 1997Mathematics of Derivative Securities150 cited

Cited by

  • 2004Evaluating of path-dependent securities with low discrepancy methods29 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work