Related papers: Monte Carlo Methods and Path-Generation techniques…
In this article, we present a review of the recent developments on the topic of Multilevel Monte Carlo (MLMC) algorithm, in the paradigm of applications in financial engineering. We specifically focus on the recent studies conducted in two…
Phonon Monte Carlo (PMC) is a versatile stochasic technique for solving the Boltzmann transport equation for phonons. It is particularly well suited for analyzing thermal transport in structures that have real-space roughness or are too…
We tackle the problem of pricing Chinese convertible bonds(CCBs) using Monte Carlo simulation and dynamic programming. At each exercise time, we use the state variables of the underlying stock to regress the continuation value, and apply…
Generation of pseudorandom numbers from different probability distributions has been studied extensively in the Monte Carlo simulation literature. Two standard generation techniques are the acceptance-rejection and inverse transformation…
Monte Carlo and Quasi-Monte Carlo methods present a convenient approach for approximating the expected value of a random variable. Algorithms exist to adaptively sample the random variable until a user defined absolute error tolerance is…
The LIBOR Market Model (LMM) is a widely used model for pricing interest rate derivatives. While the Black-Scholes model is well-known for pricing stock derivatives such as stock options, a larger portion of derivatives are based on…
Hedging a portfolio containing autocallable notes presents unique challenges due to the complex risk profile of these financial instruments. In addition to hedging, pricing these notes, particularly when multiple underlying assets are…
This paper addresses the problem of Monte Carlo approximation of posterior probability distributions. In particular, we have considered a recently proposed technique known as population Monte Carlo (PMC), which is based on an iterative…
We develop a mixed least squares Monte Carlo-partial differential equation (LSMC-PDE) method for pricing Bermudan style options on assets whose volatility is stochastic. The algorithm is formulated for an arbitrary number of assets and…
This paper focuses on the pricing of continuous geometric Asian options (GAOs) under a multifactor stochastic volatility model. The model considers fast and slow mean reverting factors of volatility, where slow volatility factor is…
This article presents a novel approach, named MCMP (Monte Carlo Motion Planning), to the problem of motion planning under uncertainty, i.e., to the problem of computing a low-cost path that fulfills probabilistic collision avoidance…
In this paper we derive a efficient Monte Carlo approximation for the price of path-dependent derivatives under the multiscale stochastic volatility models of Fouque \textit{et al}. Using the formulation of this pricing problem under the…
In this paper, the valuation of European and path-dependent options in foreign exchange (FX) markets is considered when the currency exchange rate evolves according to the Heston model combined with the Cox-Ingersoll-Ross dynamics for the…
GPU computing has become popular in computational finance and many financial institutions are moving their CPU based applications to the GPU platform. Since most Monte Carlo algorithms are embarrassingly parallel, they benefit greatly from…
We develop new multilevel Monte Carlo (MLMC) methods to estimate the expectation of the smallest eigenvalue of a stochastic convection-diffusion operator with random coefficients. The MLMC method is based on a sequence of finite element…
In this paper we propose a novel dual regression-based approach for pricing American options. This approach reduces the complexity of the nested Monte Carlo method and has especially simple form for time discretised diffusion processes. We…
The pricing of American style and multiple exercise options is a very challenging problem in mathematical finance. One usually employs a Least-Square Monte Carlo approach (Longstaff-Schwartz method) for the evaluation of conditional…
In the following article we provide an exposition of exact computational methods to perform parameter inference from partially observed network models. In particular, we consider the duplication attachment (DA) model which has a likelihood…
Agricultural commodity futures are often settled by delivery. Quality options that allow the futures short to deliver one of several underlying assets are commonly used in such contracts to prevent manipulation. Inclusion of these options…
Many machine learning problems optimize an objective that must be measured with noise. The primary method is a first order stochastic gradient descent using one or more Monte Carlo (MC) samples at each step. There are settings where…