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Mixed precision multilevel Monte Carlo on hybrid computing systems
8 references·1 citing·31 second hop
Mixed precision multilevel Monte Carlo on hybrid computing systems (2014)Mixed precision multilevel Monte Carlo on…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Multilevel Monte Carlo Methods (2013)Multilevel Monte Carlo MethodsAn Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (2011)An Euler-type method for the …Monte Carlo Methods and Models in Finance and Insurance (2010)Monte Carlo Methods and Model…A comparison of biased simulation schemes for stochastic volatility models (2009)A comparison of biased simula…Multilevel Monte Carlo Path Simulation (2008)Multilevel Monte Carlo Path S…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Combining Sparse Grids, Multilevel MC and QMC for Elliptic PDEs with Random Coefficients (2018)Combining Sparse Grids, Multi…Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)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)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process (2012)First order strong approximations of scalar SDEs defined in a domain (2014)On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients (2020)Monte Carlo Methods in Financial Engineering (2003)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Optimal Model Management for Multifidelity Monte Carlo Estimation (2016)Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients (2011)Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients (2011)Option pricing when underlying stock returns are discontinuous (1976)Multilevel Monte Carlo methods for computing failure probability of porous media flow systems (2016)A Machine Learning Based Hybrid Multi-Fidelity Multi-Level Monte Carlo Method for Uncertainty Quantification (2019)Multi-fidelity uncertainty quantification method with application to nonlinear structural response analysis (2019)Continuous Martingales and Brownian Motion (1999)A probabilistic numerical method for fully nonlinear parabolic PDEs (2011)Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients (2012)A health insurance pricing model based on prevalence rates: Application to critical illness insurance (2014)Central limit theorem for the multilevel Monte Carlo Euler method (2014)Brownian motion and stochastic calculus (2017)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2016Numerical solution of stochastic differential equations5,096 cited
  • 2008Multilevel Monte Carlo Path Simulation1,445 cited
  • 2009A comparison of biased simulation schemes for stochastic volatility models364 cited
  • 2010Monte Carlo Methods and Models in Finance and Insurance165 cited
  • 2011An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process147 cited
  • 2013Multilevel Monte Carlo Methods33 cited

Cited by

  • 2018Combining Sparse Grids, Multilevel MC and QMC for Elliptic PDEs with Random Coefficients5 cited

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