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Randomized Dimension Reduction for Monte Carlo Simulations.
- Published in:
- Management Science, 2020, v. 66, n. 3, p. 1421, doi. 10.1287/mnsc.2018.3250
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- Publication type:
- Article
Superreplication of Financial Derivatives via Convex Programming.
- Published in:
- Management Science, 2017, v. 63, n. 7, p. 2323, doi. 10.1287/mnsc.2017.2786
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- Publication type:
- Article
Efficient Simulation of High Dimensional Gaussian Vectors.
- Published in:
- Mathematics of Operations Research, 2019, v. 44, n. 1, p. 58, doi. 10.1287/moor.2017.0914
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- Article
MODEL-INDEPENDENT LOWER BOUND ON VARIANCE SWAPS.
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- Mathematical Finance, 2016, v. 26, n. 4, p. 939, doi. 10.1111/mafi.12083
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- Publication type:
- Article
SPARSE CALIBRATIONS OF CONTINGENT CLAIMS.
- Published in:
- Mathematical Finance, 2010, v. 20, n. 1, p. 105, doi. 10.1111/j.1467-9965.2009.00391.x
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- Article