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Implementation of variance reduction techniques applied to the pricing of investment certificates [PDF]
Risk Management Magazine, 2023 Certificates are structured financial instruments that aim to provide investors with investment solutions tailored to their needs. Certificates can be modeled using a bond component and a derivative component, typically an options strategy.
Anna Bottasso +3 more
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AN ADAPTIVE COMPOSITE QUANTILE APPROACH TO DIMENSION REDUCTION [PDF]
, 2014 Sufficient dimension reduction [Li 1991] has long been a prominent issue in multivariate nonparametric regression analysis. To uncover the central dimension reduction space, we propose in this paper an adaptive composite quantile approach.
Kong, Efang
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Variance reduction and cluster decomposition [PDF]
Physical Review D, 2018 It is a common problem in lattice QCD calculation of the mass of the hadron with an annihilation channel that the signal falls off in time while the noise remains constant. In addition, the disconnected insertion calculation of the three-point function and the calculation of the neutron electric dipole moment with the $θ$ term suffer from a noise ...
Liu, Keh-Fei, Liang, Jian, Yang, Yi-Bo
openaire +2 more sources
Stochastic Recursive Gradient Support Pursuit and Its Sparse Representation Applications
Sensors, 2020 In recent years, a series of matching pursuit and hard thresholding algorithms have been proposed to solve the sparse representation problem with ℓ0-norm constraint.
Fanhua Shang +5 more
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Stress-weighted spatial averaging of random fields in geotechnical risk assessment
Studia Geotechnica et Mechanica, 2021 Effects of spatial fluctuations of soil parameters are considered in a new context – considering variability of soil parameters in conjunction with non-uniform stress fields, which can locally amplify (or suppress) subsoil inhomogeneities.
Brząkała Włodzimierz
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IEEE Access, 2020 The power consumption at the receiver side will be dramatically increased in the millimetre-wave and massive multiple-input-multiple-output (MIMO) communication systems due to the wide bandwidth and a large number of antennas adopted.
Yi Gong +3 more
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An Integral-Equation-Based Variance Reduction Method for Accelerated Monte Carlo Simulations
Photonics, 2023 In this work, we introduce a novel variance reduction approach utilising the integral formulation of the radiative transfer equation to calculate the radiance in a planar symmetric slab geometry.
David Hevisov +3 more
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Robust Support Vector Machine Based on Momentum Acceleration Zero-Order Variance Reduction [PDF]
Jisuanji gongcheng, 2020 In the actual classification problem,there is often a certain amount of noise in the data caused by the influence of artificial or other factors,so it is very important to improve the anti-noise ability of the classifier.However,the hinge loss function ...
LU Shuxia, CAI Lianxiang, ZHANG Luohuan
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Variance reduction for discretised diffusions via regression
, 2018 In this paper we present a novel approach towards variance reduction for discretised diffusion processes. The proposed approach involves specially constructed control variates and allows for a significant reduction in the variance for the terminal ...
Tigran Nagapetyan +7 more
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Variance-Reduction Methods for Monte Carlo Simulation of Radiation Transport
Frontiers in Physics, 2021 After a brief description of the essentials of Monte Carlo simulation methods and the definition of simulation efficiency, the rationale for variance-reduction techniques is presented.
Salvador García-Pareja +2 more
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