Rare event simulation for diffusion processes via two-stage importance sampling.
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- Monte Carlo Methods & Applications, 2014, v. 20, n. 2, p. 77, doi. 10.1515/mcma-2013-0019
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- Publication type:
- Article
Works matching IS 0929-9629 AND VI 20 AND IP 2 AND DT 2014
Results: 6
1
2
High performance computing in quantitative finance: A review from the pseudo-random number generator perspective.
- Published in:
- Monte Carlo Methods & Applications, 2014, v. 20, n. 2, p. 101, doi. 10.1515/mcma-2013-0020
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- Publication type:
- Article
3
An efficient Monte Carlo solution for problems with random matrices.
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- Monte Carlo Methods & Applications, 2014, v. 20, n. 2, p. 121, doi. 10.1515/mcma-2013-0021
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- Publication type:
- Article
4
The criterion of hypothesis testing on the covariance function of a Gaussian stochastic process.
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- Monte Carlo Methods & Applications, 2014, v. 20, n. 2, p. 137, doi. 10.1515/mcma-2013-0023
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- Publication type:
- Article
5
A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization.
- Published in:
- Monte Carlo Methods & Applications, 2014, v. 20, n. 2, p. 145, doi. 10.1515/mcma-2013-0024
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- Publication type:
- Article
6
Frontmatter.
- Published in:
- Monte Carlo Methods & Applications, 2014, v. 20, n. 2, p. i, doi. 10.1515/mcma-2014-frontmatter2
- Publication type:
- Article