53 search results - page 1 / 11 » Multilevel Monte Carlo Path Simulation |
IOR
2008
13 years 4 months ago
2008
ICCS
2001
Springer
13 years 9 months ago
2001
Springer
Abstract. The results of analytical approximations and extensive calculations based on a path integral Monte Carlo (PIMC) scheme are presented. A new (direct) PIMC method allows fo...
WSC
2007
13 years 6 months ago
2007
This paper reviews the use of Monte Carlo simulation in the field of financial engineering. It focuses on several interesting topics and introduces their recent development, inc...
WSC
2004
13 years 5 months ago
2004
Monte Carlo simulation can be readily applied to asset pricing problems with multiple state variables and possible path dependencies because convergence of Monte Carlo methods is ...
WSC
2000
13 years 5 months ago
2000
What actuaries call cash flow testing is a large-scale simulation pitting a company's current policy obligation against future earnings based on interest rates. While life co...