Found 8 Documents (Results 1–8)
Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation. (English) Zbl 1373.65007
Antithetic multilevel Monte Carlo estimation for multidimensional SDEs. (English) Zbl 1302.65026
Dick, Josef (ed.) et al., Monte Carlo and quasi-Monte Carlo methods 2012. Proceedings of the 10th international conference on ‘Monte Carlo and quasi-Monte Carlo methods in scientific computing’, Sydney, Australia, February 13–17, 2012. Berlin: Springer (ISBN 978-3-642-41094-9/hbk; 978-3-642-41095-6/ebook). Springer Proceedings in Mathematics & Statistics 65, 367-384 (2013).
Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models. (English) Zbl 1405.91692
Derivative securities and difference methods. (English) Zbl 1061.91036
Springer Finance. New York, NY: Springer (ISBN 0-387-20842-9/hbk). xviii, 513 p. (2004).
Reviewer: Elias Shiu (Iowa City)
A course in financial calculus. (English) Zbl 1002.91025
Cambridge: Cambridge University Press. viii, 196 p. (2002).
Reviewer: Klaus Schürger (Bonn)
Fast pricing of European Asian options with provable accuracy: single-stock and basket options. (English) Zbl 1037.91041
Meyer auf der Heide, Friedhelm (ed.), Algorithms - ESA 2001. 9th annual European symposium, Århus, Denmark, August 28–31, 2001. Proceedings. Berlin: Springer (ISBN 3-540-42493-8). Lect. Notes Comput. Sci. 2161, 404-415 (2001).
Mathematical methods for foreign exchange. A financial engineer’s approach. (English) Zbl 0989.91002
Singapore: World Scientific. xxii, 676 p. (2001).
Reviewer: C.L.Parihar (Indore)
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