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Multilevel Monte Carlo for jump processes

open access: yes, 2016
This thesis consists of two parts. The first part (Chapters 2-4) considers multilevel Monte Carlo for option pricing in finite activity jump-diffusion models. We use a jump-adapted Milstein discretisation for constant rate cases and with the thinning method for bounded state-dependent rate cases.
openaire   +1 more source

Multilevel Monte Carlo for basket options [PDF]

open access: yesProceedings of the 2009 Winter Simulation Conference (WSC), 2009
openaire   +1 more source

Generative modelling meets Bayesian inference: a new paradigm for inverse problems. [PDF]

open access: yesPhilos Trans A Math Phys Eng Sci
Oliviero-Durmus A   +4 more
europepmc   +1 more source

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