SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
On adaptive stratification
11 references·3 citing·32 second hop
On adaptive stratification (2009)On adaptive stratificationHigh order discretization schemes for the CIR process: Application to affine term structure and Heston models (2009)High order discretization sch…Adaptive Optimal Allocation in Stratified Sampling Methods (2008)Adaptive Optimal Allocation i…Stochastic Simulation (2007)Stochastic SimulationSimulation and the Monte Carlo Method (2007)Simulation and the Monte Carl…Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)Exact Simulation of Stochasti…Adaptative Monte Carlo Method, A Variance Reduction Technique (2004)Adaptative Monte Carlo Method…Stochastic Approximation and Recursive Algorithms and Applications (2003)Stochastic Approximation and …Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options (1999)Asymptotically Optimal Import…Optimization of Stochastic Models: The Interface Between Simulation and Optimization (1998)Optimization of Stochastic Mo…Optimization of Stochastic Models (1996)Optimization of Stochastic Mo…ADAPTIVE STRATIFIED SAMPLING FOR NONSMOOTH PROBLEMS (2022)ADAPTIVE STRATIFIED SAMPLING …Control variates and conditional Monte Carlo for basket and Asian options (2013)Control variates and conditio…Sequential Monte Carlo Methods for Option Pricing (2011)Sequential Monte Carlo Method…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Martingale Methods in Financial Modelling (1997)Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling (2009)Unconstrained Recursive Importance Sampling (2010)A Theory of the Term Structure of Interest Rates (1985)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)Variance Reduction Techniques for Estimating Value-at-Risk (2000)Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)Rare events, splitting, and quasi-Monte Carlo (2007)Numerical solution of stochastic differential equations (2016)Brownian Motion and Stochastic Calculus (2007)Time Dependent Heston Model (2010)An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (2011)THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL (2016)Proceedings of the 2002 Winter Simulation Conference (2002)Computational methods in optimization considering uncertainties – An overview (2008)A unified framework for stochastic optimization (2018)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Regime Switching Stochastic Approximation Algorithms with Application to Adaptive Discrete Stochastic Optimization (2004)A Sequential Sampling Procedure for Stochastic Programming (2011)Simulation optimization: a review of algorithms and applications (2014)A comparison of biased simulation schemes for stochastic volatility models (2009)Exploring the sources of default clustering (2018)Deep hedging (2019)Chapter 19 Gradient Estimation (2006)Simulation Optimization: A Review and Exploration in the New Era of Cloud Computing and Big Data (2015)Econometric Tools for Analyzing Market Outcomes (2007)Metamodel-based importance sampling for structural reliability analysis (2013)Everything you need to know about agent-based modelling and simulation (2016)A Guide to Sample Average Approximation (2014)
this work references cited by second hop

References

  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2007Simulation and the Monte Carlo Method2,454 cited
  • 2003Stochastic Approximation and Recursive Algorithms and Applications1,845 cited
  • 2007Stochastic Simulation1,121 cited
  • 2006Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes493 cited
  • 1996Optimization of Stochastic Models258 cited
  • 1999Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options219 cited
  • 1998Optimization of Stochastic Models: The Interface Between Simulation and Optimization195 cited
  • 2009High order discretization schemes for the CIR process: Application to affine term structure and Heston models169 cited
  • 2004Adaptative Monte Carlo Method, A Variance Reduction Technique84 cited
  • 2008Adaptive Optimal Allocation in Stratified Sampling Methods50 cited

Cited by

  • 2011Sequential Monte Carlo Methods for Option Pricing25 cited
  • 2013Control variates and conditional Monte Carlo for basket and Asian options20 cited
  • 2022ADAPTIVE STRATIFIED SAMPLING FOR NONSMOOTH PROBLEMS9 cited

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