Adjoint-based Monte Carlo calibration of financial market models
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References listed on IDEAS
- Roger Lord & Remmert Koekkoek & Dick Van Dijk, 2010.
"A comparison of biased simulation schemes for stochastic volatility models,"
Taylor & Francis Journals, vol. 10(2), pages 177-194.
- Roger Lord & Remmert Koekkoek & Dick van Dijk, 2006. "A Comparison of Biased Simulation Schemes for Stochastic Volatility Models," Tinbergen Institute Discussion Papers 06-046/4, Tinbergen Institute, revised 07 Jun 2007.
- Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
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- Eichler Andreas & Leobacher Gunther & Zellinger Heidrun, 2011. "Calibration of financial models using quasi-Monte Carlo," Monte Carlo Methods and Applications, De Gruyter, vol. 17(2), pages 99-131, January.
- Cristian Homescu, 2011. "Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance," Papers 1107.1831, arXiv.org.
More about this item
KeywordsAdjoint equation; Monte Carlo calibration; Multi-layer method; 65C05; 65K05; 90C30; 90C90; 91B28; C61; C63;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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