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Robbins–Monro algorithms and variance reduction in finance
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Robbins–Monro algorithms and variance reduction in finance (2003)Robbins–Monro algorithms and variance red…Finite-Element Methods (2012)Finite-Element MethodsA framework for adaptive Monte Carlo procedures (2011)A framework for adaptive Mont…A framework for adaptive Monte Carlo procedures (2011)A framework for adaptive Mont…Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation (2008)Optimal Importance Sampling P…Adaptive Monte Carlo Variance Reduction for Lévy Processes with Two-Time-Scale Stochastic Approximation (2007)Adaptive Monte Carlo Variance…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Coherent Measures of Risk (1999)A Stochastic Approximation Method (1951)Central limit theorems for local martingales (1980)Acceleration of Stochastic Approximation by Averaging (1992)Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation (2017)The Variance Gamma Process and Option Pricing (1998)On Default Correlation (2000)Lévy Processes and Stochastic Calculus (2004)Variance Reduction for Asian Options under a General Model Framework (2014)Monte Carlo Methods in Financial Engineering (2003)Stochastic Approximation and Recursive Algorithms and Applications (2003)STOCHASTIC APPROXIMATION (2005)Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata (2010)
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  • 2012Finite-Element Methods46 cited
  • 2008Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation28 cited
  • 2011A framework for adaptive Monte Carlo procedures23 cited
  • 2007Adaptive Monte Carlo Variance Reduction for Lévy Processes with Two-Time-Scale Stochastic Approximation23 cited
  • 2011A framework for adaptive Monte Carlo procedures20 cited

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