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Proxy Simulation Schemes for Generic Robust Monte-Carlo Sensitivities, Process Oriented Importance Sampling and High Accuracy Drift Approximation (with Applications to the Libor Market Model)
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Proxy Simulation Schemes for Generic Robust Monte-Carlo Sensitivities, Process Oriented Importance Sampling and High Accuracy Drift Approximation (with Applications to the Libor Market Model) (2005)Proxy Simulation Schemes for Generic Robu…Jérôme, Pierre (2011)Jérôme, PierrePartial proxy simulation schemes for generic and robust Monte Carlo Greeks (2008)Partial proxy simulation sche…Computing deltas of callable Libor exotics in forward Libor models (2004)Computing deltas of callable …Optimal Malliavin Weighting Function for the Computation of the Greeks (2003)Optimal Malliavin Weighting F…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Modern Pricing of Interest-Rate Derivatives The LIBOR Market Model and Beyond (2002)Modern Pricing of Interest-Ra…Interest Rate Models Theory and Practice (2001)Interest Rate Models Theory a…Fast greeks by simulation in forward LIBOR models (1999)Fast greeks by simulation in …Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…Stochastic Analysis (1997)Stochastic AnalysisMonte Carlo methods for security pricing (1997)Monte Carlo methods for secur…Estimating Security Price Derivatives Using Simulation (1996)Estimating Security Price Der…Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Pricing American-style securities using simulation (1997)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Measuring Market Risk (2005)The Malliavin Calculus and Related Topics (1995)Smart Monte Carlo: various tricks using Malliavin calculus (2002)Weak approximations for Wiener functionals (2009)Stochastic Automatic Differentiation: Automatic Differentiation for Monte-Carlo Simulations (2017)Options: A Monte Carlo approach (1977)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Quasi-Monte Carlo Methods in Numerical Finance (1996)A new PDE approach for pricing arithmetic average Asian options (2001)A stochastic mesh method for pricing high-dimensional American options (2004)Theory of rational option pricing (2005)A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Brownian Motion and Stochastic Calculus (2007)Stochastic differential equations and applications (2008)Numerical solution of stochastic differential equations (2016)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Pricing Swaptions Within an Affine Framework (2002)Stochastic Integration and Differential Equations (2005)Additive and multiplicative duals for American option pricing (2007)Simulation-based pricing of convertible bonds (2007)Pricing and Hedging Spread Options (2003)A Benchmark Approach to Quantitative Finance (2006)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)A Stochastic Volatility Forward Libor Model with a Term Structure of Volatility Smiles (2003)Pricing inflation-indexed derivatives (2005)Handbook of Financial Engineering (2008)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 Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)Stochastic Calculus with Respect to Gaussian Processes (2001)Stein’s method on Wiener chaos (2008)
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References

  • 1987Stochastic Differential Equations: An Introduction with Applications.3,963 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2001Interest Rate Models Theory and Practice1,148 cited
  • 1997Stochastic Analysis1,035 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • 1996Estimating Security Price Derivatives Using Simulation449 cited
  • 2002Modern Pricing of Interest-Rate Derivatives The LIBOR Market Model and Beyond152 cited
  • 1999Fast greeks by simulation in forward LIBOR models88 cited
  • 2003Optimal Malliavin Weighting Function for the Computation of the Greeks45 cited
  • 2004Computing deltas of callable Libor exotics in forward Libor models41 cited
  • 2008Partial proxy simulation schemes for generic and robust Monte Carlo Greeks30 cited
  • 2011Jérôme, Pierre2 cited

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