Computing Greeks with Multilevel Monte Carlo Methods using Importance Sampling

Computing Greeks with Multilevel Monte Carlo Methods using Importance Sampling

This paper presents a new efficient way to reduce the variance of an estimator of popular payoffs and greeks encounter in financial mathematics. The idea is to apply Importance Sampling with the Multilevel Monte Carlo recently introduced by M.B. Giles. So far, Importance Sampling was proved successf...

書誌詳細
第一著者:	Euget, T
フォーマット:	学位論文
出版事項:	University of Oxford;Mathematical Institute 2012

類似資料

The computation of Greeks with multilevel Monte Carlo
著者:: Burgos, S
出版事項: (2014)

Multilevel Monte Carlo methods
著者:: Giles, M
出版事項: (2015)

Multilevel Monte Carlo estimation of the expected value of sample information
著者:: Hironaka, T, 等
出版事項: (2020)

Vibrato Monte Carlo and the calculation of greeks
著者:: Keegan, S
出版事項: (2008)

Vibrato Monte Carlo and the calculation of greeks
著者:: Keegan, S
出版事項: (2008)

Investigation into Vibrato Monte Carlo for the Computation of Greeks of Discontinuous Payoffs
著者:: Burgos, S
出版事項: (2009)

Multilevel Monte Carlo path simulation
著者:: Giles, M
出版事項: (2008)

Multilevel Monte Carlo for reliability theory
著者:: Aslett, L, 等
出版事項: (2017)

Multilevel Monte Carlo path simulation.
著者:: Giles, M
出版事項: (2007)

Multilevel Monte Carlo for jump processes
著者:: Xia, Y
出版事項: (2013)

Non-nested adaptive timesteps in multilevel Monte Carlo computations
著者:: Giles, M, 等
出版事項: (2016)

Non-nested adaptive timesteps in multilevel Monte Carlo computations
著者:: Giles, MB, 等
出版事項: (2016)

Efficient white noise sampling and coupling for multilevel Monte Carlo with nonnested meshes
著者:: Croci, M, 等
出版事項: (2018)

Multilevel Monte Carlo methods for uncertainty quantification in brain simulations
著者:: Croci, M
出版事項: (2020)

Multilevel Monte Carlo method for ergodic SDEs without contractivity
著者:: Fang, W, 等
出版事項: (2019)

Multilevel Monte Carlo for exponential Lévy models
著者:: Giles, M, 等
出版事項: (2017)

Computation of electromagnetic fields scattered from objects with uncertain shapes using multilevel Monte Carlo method
著者:: Litvinenko, Alexander, 等
出版事項: (2020)

Improved multilevel monte carlo convergence using the milstein scheme
著者:: Giles, M
出版事項: (2008)

Improved multilevel Monte Carlo convergence using the Milstein scheme.
著者:: Giles, M
出版事項: (2007)

Improved multilevel Monte Carlo convergence using the Milstein scheme
著者:: Giles, M
出版事項: (2006)

Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling
著者:: Katsiolides, G, 等
出版事項: (2017)

Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
著者:: Cliffe, K, 等
出版事項: (2011)

On the numerical performance of the weak multilevel Monte-Carlo method for the Heston Model
著者:: Azadeh Ghasemifard, 等
出版事項: (2024-07-01)

A multilevel Monte Carlo estimator for matrix multiplication
著者:: Wu, Y, 等
出版事項: (2020)

Optimization of mesh hierarchies in multilevel Monte Carlo samplers
著者:: Haji-Ali, A, 等
出版事項: (2015)

Partial Monte Carlo sampling for computer generated holograms
著者:: Alfonso Blesa, 等
出版事項: (2024-01-01)

The Monte Carlo method of random simulation samples
著者:: Juan Gaytán Cortés
出版事項: (2023-09-01)

Smoking Adjoints: fast evaluation of Greeks in Monte Carlo calculations
著者:: Giles, M, 等
出版事項: (2005)

The Markov chain Monte Carlo approach to importance sampling in stochastic programming
著者:: Ustun, Berk (Tevfik Berk)
出版事項: (2014)

Computing Greeks using multilevel path simulation
著者:: Giles, M, 等
出版事項: (2011)

Monte Carlo localization in outdoor terrains using multilevel surface maps
著者:: Kümmerle, R, 等
出版事項: (2008)

Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation
著者:: Giles, M, 等
出版事項: (2019)

Reliability assessment for Modular Multilevel Converters using Monte Carlo Simulations
著者:: Miad Ahmadi, 等
出版事項: (2025-04-01)

Multilevel and Multi-index Monte Carlo methods for the McKean-Vlasov equation
著者:: Haji-Ali, A, 等
出版事項: (2017)

Multilevel quasi Monte Carlo methods for elliptic PDEs with random field coefficients via fast white noise sampling
著者:: Croci, M, 等
出版事項: (2021)

On sequential Monte Carlo sampling methods for Bayesian filtering
著者:: Doucet, A, 等
出版事項: (2000)

Monte carlo and quasi-monte carlo methods 2006 /
著者:: International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing (7th : 2006 : Ulm, Germany), 等
出版事項: (2008)

Estimating expected first passage times using multilevel Monte Carlo algorithm
著者:: Primozic, T
出版事項: (2011)

Multilevel Monte Carlo adapted to bermudan options using randomized stopping rule
著者:: Chen, L
出版事項: (2010)

Analysis of nested multilevel Monte Carlo using approximate Normal random variables
著者:: Giles, M, 等
出版事項: (2022)