228 results in 65Cxx
SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS
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- The ANZIAM Journal / Volume 57 / Issue 3 / January 2016
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- 17 February 2016, pp. 280-298
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Nearly Optimal Bernoulli Factories for Linear Functions
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- Combinatorics, Probability and Computing / Volume 25 / Issue 4 / July 2016
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- 01 February 2016, pp. 577-591
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Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications
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- Journal of Applied Probability / Volume 52 / Issue 4 / December 2015
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- 30 March 2016, pp. 1076-1096
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- December 2015
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Uniform approximation of the Cox-Ingersoll-Ross process
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- Advances in Applied Probability / Volume 47 / Issue 4 / December 2015
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- 21 March 2016, pp. 1132-1156
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- December 2015
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Perfect simulation of M/G/c queues
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- Advances in Applied Probability / Volume 47 / Issue 4 / December 2015
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- 21 March 2016, pp. 1039-1063
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- December 2015
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Estimation of integrals with respect to infinite measures using regenerative sequences
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- Journal of Applied Probability / Volume 52 / Issue 4 / December 2015
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- 30 March 2016, pp. 1133-1145
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- December 2015
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Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation
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- East Asian Journal on Applied Mathematics / Volume 5 / Issue 4 / November 2015
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- 10 November 2015, pp. 387-404
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- November 2015
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A Polynomial Chaos Method for Dispersive Electromagnetics
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- Communications in Computational Physics / Volume 18 / Issue 5 / November 2015
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- 23 November 2015, pp. 1234-1263
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- November 2015
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Rare-event simulation and efficient discretization for the supremum of Gaussian random fields
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- Advances in Applied Probability / Volume 47 / Issue 3 / September 2015
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- 21 March 2016, pp. 787-816
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- September 2015
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On the convergence rates of some adaptive Markov chain Monte Carlo algorithms
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- Journal of Applied Probability / Volume 52 / Issue 3 / September 2015
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- 30 March 2016, pp. 811-825
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- September 2015
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Perfect sampling for infinite server and loss systems
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- Advances in Applied Probability / Volume 47 / Issue 3 / September 2015
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- 21 March 2016, pp. 761-786
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- September 2015
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On spherical Monte Carlo simulations for multivariate normal probabilities
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- Advances in Applied Probability / Volume 47 / Issue 3 / September 2015
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- 21 March 2016, pp. 817-836
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- September 2015
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Stochastic Collocation on Unstructured Multivariate Meshes
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- Communications in Computational Physics / Volume 18 / Issue 1 / July 2015
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- 03 July 2015, pp. 1-36
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- July 2015
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American Option Valuation under Continuous-Time Markov Chains
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- Advances in Applied Probability / Volume 47 / Issue 2 / June 2015
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- 22 February 2016, pp. 378-401
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- June 2015
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On the Backward Euler Approximation of the Stochastic Allen-Cahn Equation
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- Journal of Applied Probability / Volume 52 / Issue 2 / June 2015
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- 30 January 2018, pp. 323-338
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- June 2015
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Multivariate Distributions with Fixed Marginals and Correlations
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- Journal of Applied Probability / Volume 52 / Issue 2 / June 2015
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- 30 January 2018, pp. 602-608
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- June 2015
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On the Acceleration of the Multi-Level Monte Carlo Method
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- Journal of Applied Probability / Volume 52 / Issue 2 / June 2015
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- 30 January 2018, pp. 307-322
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- June 2015
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The Euler Scheme for a Stochastic Differential Equation Driven by Pure Jump Semimartingales
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- Journal of Applied Probability / Volume 52 / Issue 1 / March 2015
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- 30 January 2018, pp. 149-166
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- March 2015
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Applying the Wiener-Hopf Monte Carlo Simulation Technique for Lévy Processes to Path Functionals
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- Journal of Applied Probability / Volume 52 / Issue 1 / March 2015
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- 30 January 2018, pp. 129-148
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- March 2015
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On the Random Sampling of Pairs, with Pedestrian Examples
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- Advances in Applied Probability / Volume 47 / Issue 1 / March 2015
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- 04 January 2016, pp. 292-305
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- March 2015
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