The Brownian Bridge algorithm belongs to the family of Monte Carlo or Quasi-Monte Carlo methods with reduced variance. It generates sample paths which all start at the same initial point and end, at the same moment of time, at the same final point
The iterative simulation of the Brownian bridge is well known. In this article, we present a vectori...
International audienceIn this work, we present advanced Monte Carlo techniques applied to the pricin...
AbstractWe give an exposition of Brownian motion and the Brownian bridge, both continuous and discre...
The Brownian bridge algorithm has been implemented for stress testing within the Risk Management fra...
AbstractQuasi-Monte Carlo (QMC) methods have been playing an important role for high-dimensional pro...
Educação Superior::Ciências Exatas e da Terra::MatemáticaA Brownian bridge is a continuous stochasti...
在評價多資產衍生性金融商品時，一般使用蒙地卡羅模擬(Monte Carlo simulation)，在每一觀察時點模擬出股價再套入報酬公式即可求出理論價值，然後，針對那些屬於連續觀察報酬型態的商品，如...
We provide a method for the generation of paths of Lévy processes which has many of the benefits th...
In this work we describe a new technique, alternative to Importance Sampling (IS), for the Monte-Car...
AbstractRecent results in the theory of quasi-Monte Carlo methods have shown that the weighted Koksm...
This thesis consists of a summary and five papers, dealing with the modeling of Gaussian bridges and...
AbstractThe Brownian bridge has been suggested as an effective method for reducing the quasi-Monte C...
For discretely observed barrier options, there exists no closed solution under the Black-Scholes mod...
We provide a simple algorithm for construction of Brownian paths approximating those of a Lévy proce...
We present an iterative sampling method which delivers upper and lower bounding processes for the Br...
The iterative simulation of the Brownian bridge is well known. In this article, we present a vectori...
International audienceIn this work, we present advanced Monte Carlo techniques applied to the pricin...
AbstractWe give an exposition of Brownian motion and the Brownian bridge, both continuous and discre...
The Brownian bridge algorithm has been implemented for stress testing within the Risk Management fra...
AbstractQuasi-Monte Carlo (QMC) methods have been playing an important role for high-dimensional pro...
Educação Superior::Ciências Exatas e da Terra::MatemáticaA Brownian bridge is a continuous stochasti...
在評價多資產衍生性金融商品時，一般使用蒙地卡羅模擬(Monte Carlo simulation)，在每一觀察時點模擬出股價再套入報酬公式即可求出理論價值，然後，針對那些屬於連續觀察報酬型態的商品，如...
We provide a method for the generation of paths of Lévy processes which has many of the benefits th...
In this work we describe a new technique, alternative to Importance Sampling (IS), for the Monte-Car...
AbstractRecent results in the theory of quasi-Monte Carlo methods have shown that the weighted Koksm...
This thesis consists of a summary and five papers, dealing with the modeling of Gaussian bridges and...
AbstractThe Brownian bridge has been suggested as an effective method for reducing the quasi-Monte C...
For discretely observed barrier options, there exists no closed solution under the Black-Scholes mod...
We provide a simple algorithm for construction of Brownian paths approximating those of a Lévy proce...
We present an iterative sampling method which delivers upper and lower bounding processes for the Br...
The iterative simulation of the Brownian bridge is well known. In this article, we present a vectori...
International audienceIn this work, we present advanced Monte Carlo techniques applied to the pricin...
AbstractWe give an exposition of Brownian motion and the Brownian bridge, both continuous and discre...
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