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Monte Carlo methods in finance

Known as: Monte Carlo in finance, Monte Carlo valuation 
Monte Carlo methods are used in finance and mathematical finance to value and analyze (complex) instruments, portfolios and investments by simulating… Expand
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Papers overview

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Highly Cited
2008
Highly Cited
2008
Today, quasi-Monte Carlo (QMC) methods are widely used in finance to price derivative securities. The QMC approach is popular… Expand
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Highly Cited
2003
Highly Cited
2003
Constraint programming is a research topic benefiting from many other areas: discrete mathematics, numerical analysis, artificial… Expand
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2003
2003
We present a fast and unbiased Monte Carlo approach to pricing barrier options when the underlying security follows a simple jump… Expand
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Highly Cited
2002
Highly Cited
2002
An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This… Expand
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Highly Cited
2002
Highly Cited
2002
Monte Carlo method has received significant consideration from the context of quantitative finance mainly due to its ease of… Expand
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Highly Cited
2002
Highly Cited
2002
This paper introduces a dual way to price American options, based on simulating the paths of the option payoff, and of a… Expand
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Highly Cited
2001
Highly Cited
2001
Abstract. This paper is the sequel of Part I [1], where we showed how to use the so-called Malliavin calculus in order to devise… Expand
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2000
2000
The pricing of options is a very important problem encountered in financial markets today. The famous Black-Scholes model… Expand
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Highly Cited
1999
Highly Cited
1999
Abstract. This paper presents an original probabilistic method for the numerical computations of Greeks (i.e. price sensitivities… Expand
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1998
1998
The pricing of options is a very important problem encountered in nancial markets today. The famous Black-Scholes model provides… Expand
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