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Practical Variance Reduction via Regression for Simulating Diffusions
12 references·1 citing·36 second hop
Practical Variance Reduction via Regression for Simulating Diffusions (2009)Practical Variance Reduction via Regressi…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Statistical Romberg extrapolation: A new variance reduction method and applications to option pricing (2005)Statistical Romberg extrapola…Numerical analysis of Monte Carlo evaluation of Greeks by finite differences (2005)Numerical analysis of Monte C…On the Malliavin approach to Monte Carlo approximation of conditional expectations (2004)On the Malliavin approach to …Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Variance Reduction Methods for Simulation of Densities on Wiener Space (2002)Variance Reduction Methods fo…Monte Carlo construction of hedging strategies against multi-asset European claims (2002)Monte Carlo construction of h…Applications of Malliavin calculus to Monte-Carlo methods in finance. II (2001)Applications of Malliavin cal…Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…Continuous-Time Monte Carlo Methods and Variance Reduction (1997)Continuous-Time Monte Carlo M…Variance Reduction for Simulated Diffusions (1994)Variance Reduction for Simula…Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples (1988)Monte carlo evaluation of fun…Counterparty Credit Exposures for Interest Rate Derivatives Using the Stochastic Grid Bundling Method (2014)Counterparty Credit Exposures…The Malliavin Calculus and Related Topics (1995)Numerical Methods in Finance (2012)Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression (2015)Numerical solution of stochastic differential equations (2016)Simulation and the Monte Carlo Method (1981)Stochastic Differential Equations and Diffusion Processes (1981)Stochastic Differential Equations and Diffusion Processes (1983)Exact retrospective Monte Carlo computation of arithmetic average Asian options (2007)Stochastic Integration and Differential Equations (1990)Monte Carlo methods for security pricing (1997)Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients (2012)On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients (2020)The Market Model of Interest Rate Dynamics (1997)Methods of Mathematical Finance (1998)Probability density estimation in stochastic environmental models using reverse representations (2005)MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES (2006)Importance Sampling for Backward SDEs (2010)The Pricing of Options and Corporate Liabilities (1973)Numerical solution of stochastic differential equations (1994)The law of the Euler scheme for stochastic differential equations (1996)The Euler scheme with irregular coefficients (2002)Brownian Motion and Stochastic Calculus (2007)A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)Pricing and Hedging Spread Options (2003)Stochastic Integration and Differential Equations (2005)Optimal replication of contingent claims under transaction costs (1989)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights (2010)Regression Methods for Stochastic Control Problems and Their Convergence Analysis (2010)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)A mean-field stochastic maximum principle via Malliavin calculus (2012)
this work references cited by second hop

References

  • 2003Monte Carlo Methods in Financial Engineering3,917 cited
  • 2006The Malliavin Calculus and Related Topics2,548 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • 2001Applications of Malliavin calculus to Monte-Carlo methods in finance. II174 cited
  • 2005Statistical Romberg extrapolation: A new variance reduction method and applications to option pricing134 cited
  • 1994Variance Reduction for Simulated Diffusions94 cited
  • 2004On the Malliavin approach to Monte Carlo approximation of conditional expectations81 cited
  • 2002Variance Reduction Methods for Simulation of Densities on Wiener Space52 cited
  • 1988Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples40 cited
  • 2002Monte Carlo construction of hedging strategies against multi-asset European claims32 cited
  • 2005Numerical analysis of Monte Carlo evaluation of Greeks by finite differences29 cited
  • 1997Continuous-Time Monte Carlo Methods and Variance Reduction24 cited

Cited by

  • 2014Counterparty Credit Exposures for Interest Rate Derivatives Using the Stochastic Grid Bundling Method18 cited

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