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… (More)
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2018
2018
Monte Carlo method has received significant consideration from the context of quantitative finance mainly due to its ease of… (More)
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2016
2016
Monte Carlo method has received significant consideration from the context of quantitative finance mainly due to its ease of… (More)
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Review
2010
Review
2010
In this introductory tutorial we discuss the problem of pricing financial derivatives, the key application of Monte Carlo in… (More)
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2008
2008
Today, quasi-Monte Carlo (QMC) methods are widely used in finance to price derivative securities. The QMC approach is popular… (More)
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2006
2006
We extend the Bismut-Elworthy-Li formula to generic strong solution of an SDE with jumps . We consider the best approach in… (More)
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2006
2006
Developed countries increasingly rely on gas storage for security of supply. Widespread deregulation has created markets that… (More)
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Review
2004
Review
2004
We review the basic principles of Quasi-Monte Carlo (QMC) methods, the randomizations that turn them into variance-reduction… (More)
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Highly Cited
1999
Highly Cited
1999
This paper presents an original probabilistic method for the numerical computations of Greeks (i.e. price sensitivities) in… (More)
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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… (More)
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