# Monte Carlo methods in finance

## Papers overview

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2018

2018

- 2018

Monte Carlo method has received significant consideration from the context of quantitative finance mainly due to its ease ofâ€¦Â (More)

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2016

2016

- 2016

Monte Carlo method has received significant consideration from the context of quantitative finance mainly due to its ease ofâ€¦Â (More)

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Review

2010

Review

2010

- Proceedings of the Winter Simulation Conference
- 2010

In this introductory tutorial we discuss the problem of pricing financial derivatives, the key application of Monte Carlo inâ€¦Â (More)

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2008

2008

- International Conference on Field Programmableâ€¦
- 2008

Today, quasi-Monte Carlo (QMC) methods are widely used in finance to price derivative securities. The QMC approach is popularâ€¦Â (More)

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2006

2006

- 2006

We extend the Bismut-Elworthy-Li formula to generic strong solution of an SDE with jumps . We consider the best approach inâ€¦Â (More)

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2006

2006

- 2006

Developed countries increasingly rely on gas storage for security of supply. Widespread deregulation has created markets thatâ€¦Â (More)

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Review

2004

Review

2004

- Proceedings of the Winter Simulation Conferenceâ€¦
- 2004

We review the basic principles of Quasi-Monte Carlo (QMC) methods, the randomizations that turn them into variance-reductionâ€¦Â (More)

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Highly Cited

2001

Highly Cited

2001

- Finance and Stochastics
- 2001

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Highly Cited

1999

Highly Cited

1999

- Finance and Stochastics
- 1999

This paper presents an original probabilistic method for the numerical computations of Greeks (i.e. price sensitivities) inâ€¦Â (More)

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1998

1998

- 1998

The pricing of options is a very important problem encountered in nancial markets today. The famous Black-Scholes model providesâ€¦Â (More)

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