Extensions for Monte-Carlo Pricing and Calibration

BOOK CHAPTER published 2002 in Springer Finance

Authors: Robert Buff

Bayesian Additive Regression Tree Calibration of Complex High-Dimensional Computer Models

JOURNAL ARTICLE published 2 April 2016 in Technometrics

Authors: M. T. Pratola | D. M. Higdon

Structural Reliability Analysis with Multi-Failure Models Using High-Dimensional Model Representation

JOURNAL ARTICLE published August 2013 in Applied Mechanics and Materials

Authors: Wei Tao Zhao | Lei Jia | Cheng Kui Niu

A Quantum Model of Implied Volatility

JOURNAL ARTICLE published May 2024 in Wilmott

Authors: David Orrell

Stochastic response of reinforced concrete buildings using high dimensional model representation

JOURNAL ARTICLE published January 2019 in Engineering Structures

Authors: Deepak Sahu | M. Nishanth | Prateek Kumar Dhir | Pradip Sarkar | Robin Davis | Sujith Mangalathu

Accelerating XVA Calibration Using Multi-level Monte Carlo

JOURNAL ARTICLE published July 2018 in Wilmott

Authors: Markus Hofer | Patrik Karlson

Exact Solutions for a GBM‐Type Stochastic Volatility Model Having a Stationery Distribution

JOURNAL ARTICLE published May 2019 in Wilmott

Authors: Alan L. Lewis

Pricing Discretely Sampled Variance Swaps with Cap/Floor Under Heston Stochastic Volatility Model

JOURNAL ARTICLE published November 2021 in Wilmott

Authors: Stanislav Stoykov

Stable local volatility function calibration using spline kernel

JOURNAL ARTICLE published July 2013 in Computational Optimization and Applications

Authors: Thomas F. Coleman | Yuying Li | Cheng Wang

Parameters Recovery via Calibration in the Heston Model: A Comprehensive Review

JOURNAL ARTICLE published November 2016 in Wilmott

Authors: Marcos Escobar | Christoph Gschnaidtner

Model‐Free Implied Volatility

OTHER published 2 January 2012 in Option Pricing Models and Volatility Using Excel®‐VBA

A Portable and Fast Stochastic Volatility Model Calibration Using Multi and Many-Core Processors

PROCEEDINGS ARTICLE published November 2014 in 2014 Seventh Workshop on High Performance Computational Finance

Authors: Matthew Dixon | Jorg Lotze | Mohammad Zubair

Using FX Volatility Skew to Assess the Implied Probability of Hard Brexit

JOURNAL ARTICLE published May 2018 in Wilmott

Authors: Iain J. Clark | Saeed Amen

Pricing and Rick Analysis in Hyperbolic Local Volatility Model with Quasi‐Monte Carlo

JOURNAL ARTICLE published May 2021 in Wilmott

Authors: Julien Hok | Sergei Kucherenko

Calibration of Dupire local volatility model using genetic algorithm of optimization

JOURNAL ARTICLE published 25 March 2019 in Neuro-Fuzzy Modeling Techniques in Economics

Authors: Maksym Bondarenko | Victor Bondarenko

Boundary Detection Using Open Spline Curve Based on Mumford-Shah Model

JOURNAL ARTICLE published February 2009 in Acta Automatica Sinica

Authors: Xiao-Mao LI | Lin-Lin ZHU | Yan-Dong TANG

A novel hybrid high-dimensional model representation (HDMR) based on the combination of plain and logarithmic high-dimensional model representations

BOOK CHAPTER published 2009 in Lecture Notes in Electrical Engineering

Authors: B. Tunga | M. Demiralp

Calibration of High-Resolution Reservoir Models Using Transient Pressure Data

PROCEEDINGS ARTICLE published 4 October 2009 in All Days

Authors: Jong Uk Kim | Akhil Datta-Gupta | Roald Brouwer | Byron Haynes

God's Model vs. Market Models

JOURNAL ARTICLE published September 2021 in Wilmott

Authors: Elie Ayache

The Heston (1993) Stochastic Volatility Model

OTHER published 2 January 2012 in Option Pricing Models and Volatility Using Excel®‐VBA