SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Unbiased Monte Carlo estimate of stochastic differential equations expectations
13 references·0 citing·37 second hop
Unbiased Monte Carlo estimate of stochastic differential equations expectations (2017)Unbiased Monte Carlo estimate of stochast…Branching diffusion representation of semilinear PDEs and Monte Carlo approximation (2019)Branching diffusion represent…Unbiased simulation of stochastic differential equations (2017)Unbiased simulation of stocha…Unbiased simulation of stochastic differential equations using parametrix expansions (2017)Unbiased simulation of stocha…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Unbiased Estimation with Square Root Convergence for SDE Models (2015)Unbiased Estimation with Squa…Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations (2013)Localization and Exact Simula…A numerical algorithm for a class of BSDEs via the branching process (2013)A numerical algorithm for a c…Counterparty Risk Valuation: A Marked Branching Diffusion Approach (2012)Counterparty Risk Valuation: …Multilevel Monte Carlo Path Simulation (2008)Multilevel Monte Carlo Path S…Exact retrospective Monte Carlo computation of arithmetic average Asian options (2007)Exact retrospective Monte Car…Feynman-Kac Formulae (2004)Feynman-Kac FormulaeApplications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…Efficient Monte Carlo Simulation of Security Prices (1995)Efficient Monte Carlo Simulat…The Asymptotic Efficiency of Simulation Estimators (1992)Robust Sensitivity Analysis for Stochastic Systems (2016)Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations (2020)Modern Bayesian Experimental Design (2024)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Exact Sampling of Jump Diffusions (2013)On the exact and $\varepsilon$-strong simulation of (jump) diffusions (2015)Exact Simulation of the SABR Model (2017)Adapted solution of a backward stochastic differential equation (1990)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Controlled Markov Processes and Viscosity Solutions (2005)Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations (2019)Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks (2020)Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations (2020)A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)Pricing and Hedging Spread Options (2003)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Monte Carlo Methods in Financial Engineering (2003)Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients (2011)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Optimal Model Management for Multifidelity Monte Carlo Estimation (2016)The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Related Topics (2006)Deep Primal-Dual Algorithm for BSDEs: Applications of Machine Learning to CVA and IM (2017)Multilevel Picard iterations for solving smooth semilinear parabolic heat equations (2021)Backward Stochastic Differential Equations in Finance (1997)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Recovering volatility from option prices by evolutionary optimization (2005)Rare events, splitting, and quasi-Monte Carlo (2007)Self-Exciting Jumps, Learning, and Asset Pricing Implications (2014)Monte Carlo methods for security pricing (1997)Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)
this work references cited by second hop

References

  • 2016Numerical solution of stochastic differential equations5,096 cited
  • 2008Multilevel Monte Carlo Path Simulation1,445 cited
  • 2004Feynman-Kac Formulae1,136 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • 2015Unbiased Estimation with Square Root Convergence for SDE Models196 cited
  • 1995Efficient Monte Carlo Simulation of Security Prices173 cited
  • 2013A numerical algorithm for a class of BSDEs via the branching process99 cited
  • 2019Branching diffusion representation of semilinear PDEs and Monte Carlo approximation82 cited
  • 2013Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations58 cited
  • 2012Counterparty Risk Valuation: A Marked Branching Diffusion Approach57 cited
  • 2017Unbiased simulation of stochastic differential equations30 cited
  • 2017Unbiased simulation of stochastic differential equations using parametrix expansions28 cited
  • 2007Exact retrospective Monte Carlo computation of arithmetic average Asian options18 cited

Cited by

No citing works inside the corpus for this window.

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