المؤلفون: Azadeh Ghasemifard, Mohammad Taghi Jahandideh

المصدر: پژوهش‌های ریاضی, Vol 7, Iss 2, Pp 353-370 (2021)

مصطلحات موضوعية: numerical solution of stochastic differential equations (sde), weak multilevel monte-carlo method, weak approximations, euler scheme, lévy process, Mathematics, QA1-939

وصف الملف: electronic resource

Relation: http://mmr.khu.ac.ir/article-1-2778-en.html; https://doaj.org/toc/2588-2546; https://doaj.org/toc/2588-2554

URL الوصول: https://doaj.org/article/6b2a5db63bca4ef9bcbf7dc95419540c

المؤلفون: Mackevičius, Vigirdas, Mongirdaitė, Gabrielė

المصدر: Mathematics., Basel : MDPI, 2022, vol. 10, iss. 1, art. no. 125, p. [1-20]. ; ISSN 2227-7390

مصطلحات موضوعية: weak approximations, split-step, Wright–Fisher equation, Jacobi equation

وصف الملف: application/pdf

Relation: https://epublications.vu.lt/object/elaba:115389545/115389545.pdf; https://repository.vu.lt/VU:ELABAPDB115389545&prefLang=en_US

الاتاحة: https://repository.vu.lt/VU:ELABAPDB115389545&prefLang=en_US

المؤلفون: Vigirdas Mackevičius, Gabrielė Mongirdaitė

المصدر: Mathematics; Volume 10; Issue 1; Pages: 125

مصطلحات موضوعية: weak approximations, split-step, Wright–Fisher equation, Jacobi equation

وصف الملف: application/pdf

Relation: Probability and Statistics; https://dx.doi.org/10.3390/math10010125

الاتاحة: https://doi.org/10.3390/math10010125

المؤلفون: Gytenis Lileika, Vigirdas Mackevičius

المصدر: Mathematics; Volume 9; Issue 12; Pages: 1337

مصطلحات موضوعية: weak approximations, second-order, split-step, CKLS, CEV

وصف الملف: application/pdf

Relation: Probability and Statistics Theory; https://dx.doi.org/10.3390/math9121337

الاتاحة: https://doi.org/10.3390/math9121337

المؤلفون: Lileika, Gytenis, Mackevičius, Vigirdas

المصدر: Mathematics, Basel : MDPI, 2021, vol. 9, iss. 12, art. no. 1337, p. [1-20] ; eISSN 2227-7390

مصطلحات موضوعية: Weak approximations, second-order, split-step, CKLS, CEV

وصف الملف: application/pdf

Relation: http://vu.oai.elaba.lt/documents/101186912.pdf; http://vu.lvb.lt/VU:ELABAPDB101186912&prefLang=en_US

الاتاحة: http://vu.oai.elaba.lt/documents/101186912.pdf
http://vu.lvb.lt/VU:ELABAPDB101186912&prefLang=en_US

المؤلفون: Horváth, Lajos, Shao, Qi-Man

المصدر: The Annals of Applied Probability, 1999 Feb 01. 9(1), 146-187.

URL الوصول: https://www.jstor.org/stable/2667296

المؤلفون: Csorgo, Miklos, Zitikis, Ricardas

المصدر: The Annals of Statistics, 1996 Aug 01. 24(4), 1717-1739.

URL الوصول: https://www.jstor.org/stable/2242746

المؤلفون: Csorgo, Miklos, Horvath, Lajos

المصدر: The Annals of Probability, 1988 Jan 01. 16(1), 142-161.

URL الوصول: https://www.jstor.org/stable/2243890

المؤلفون: Antanas Lenkšas, Vigirdas Mackevičius

المصدر: Lietuvos Matematikos Rinkinys, Vol 54, Iss A (2013)

مصطلحات موضوعية: Heston model, simulation, weak approximations, split-step approximations, call and put options, Mathematics, QA1-939

وصف الملف: electronic resource

Relation: https://www.journals.vu.lt/LMR/article/view/14883; https://doaj.org/toc/0132-2818; https://doaj.org/toc/2335-898X

URL الوصول: https://doaj.org/article/58e754fb0eed46a4a9bdbd35b0cdc559

المؤلفون: Lenkšas, Antanas, Mackevičius, Vigirdas

المصدر: Lietuvos matematikos rinkinys. Ser. A., Vilnius : Vilniaus universiteto leidykla, 2013, t. 54, p. 27-32. ; ISSN 0132-2818 ; eISSN 2335-898X

مصطلحات موضوعية: Heston model, simulation, weak approximations, split-step approximations, call and put options

وصف الملف: application/pdf

Relation: https://epublications.vu.lt/object/elaba:4854780/4854780.pdf; https://repository.vu.lt/VU:ELABAPDB4854780&prefLang=en_US

الاتاحة: https://repository.vu.lt/VU:ELABAPDB4854780&prefLang=en_US

المؤلفون: Bourgey, Florian

المساهمون: Centre de Mathématiques Appliquées - Ecole Polytechnique (CMAP), École polytechnique (X)-Centre National de la Recherche Scientifique (CNRS), Institut Polytechnique de Paris, Emmanuel Gobet, Stefano De Marco, STAR, ABES

المصدر: Probability [math.PR]. Institut Polytechnique de Paris, 2020. English. ⟨NNT : 2020IPPAX052⟩

مصطلحات موضوعية: [QFIN.GN] Quantitative Finance [q-fin]/General Finance [q-fin.GN], Polynômes orthogonaux, [QFIN.GN]Quantitative Finance [q-fin]/General Finance [q-fin.GN], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], Orthogonal polynomials, Variance Forward, Polynomial Chaos Expansion, Meta-modeling, Options américaines, Monte Carlo multi-Niveaux, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], Initial Margin, Risk management, Métamodélisation, Multilevel Monte Carlo, Marge Initiale, Weak approximations, Décomposition en polynômes du chaos, VIX, Forward Variance, Credit risk measures, Approximation faibles, American options, Mesures de risque de crédit

وصف الملف: application/pdf

URL الوصول: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::48fdb7defaa1babaea804505e1f21adc
https://tel.archives-ouvertes.fr/tel-02983018

المؤلفون: Bourgey, Florian

المساهمون: Centre de Mathématiques Appliquées - Ecole Polytechnique (CMAP), École polytechnique (X)-Centre National de la Recherche Scientifique (CNRS), Institut Polytechnique de Paris, Emmanuel Gobet, Stefano De Marco

المصدر: Probability [math.PR]. Institut Polytechnique de Paris, 2020. English. ⟨NNT : 2020IPPAX052⟩

مصطلحات موضوعية: Polynômes orthogonaux, [QFIN.GN]Quantitative Finance [q-fin]/General Finance [q-fin.GN], Orthogonal polynomials, Variance Forward, Polynomial Chaos Expansion, Meta-modeling, Options américaines, Monte Carlo multi-Niveaux, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], Initial Margin, Risk management, Métamodélisation, Multilevel Monte Carlo, Marge Initiale, Weak approximations, Décomposition en polynômes du chaos, VIX, Forward Variance, Credit risk measures, Approximation faibles, American options, Mesures de risque de crédit

URL الوصول: https://explore.openaire.eu/search/publication?articleId=od______2592::48fdb7defaa1babaea804505e1f21adc
https://tel.archives-ouvertes.fr/tel-02983018

المؤلفون: Lileika, Gytenis, Mackevičius, Vigirdas

المصدر: Lithuanian mathematical journal, New York : Springer, 2020, vol. 60, iss. 2, p. 208-224 ; ISSN 0363-1672 ; eISSN 1573-8825

مصطلحات موضوعية: CKLS, CEV, weak approximations, split-step approximations

Relation: http://vu.lvb.lt/VU:ELABAPDB78217534&prefLang=en_US

الاتاحة: http://vu.lvb.lt/VU:ELABAPDB78217534&prefLang=en_US

المؤلفون: Bourgey, Florian

المساهمون: Institut polytechnique de Paris, Gobet, Emmanuel, De Marco, Stefano

مصطلحات موضوعية: Monte Carlo multi-Niveaux, Marge Initiale, Risk management, Mesures de risque de crédit, Métamodélisation, Décomposition en polynômes du chaos, Polynômes orthogonaux, Options américaines, VIX, Approximation faibles, Variance Forward, Multilevel Monte Carlo, Initial Margin, Credit risk measures, Meta-modeling, Polynomial Chaos Expansion, Orthogonal polynomials, American options, Weak approximations, Forward Variance, 658.150 151

Relation: http://www.theses.fr/2020IPPAX052/document

الاتاحة: http://www.theses.fr/2020IPPAX052/document

المؤلفون: Lenkšas, Antanas

مصطلحات موضوعية: Heston model, weak approximations, options, stochastic differential equations

وصف الملف: application/pdf

URL الوصول: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::0d6081d7a9a74f869bc5bd2e6cf71040
https://repository.vu.lt/VU:ELABAETD18328836&prefLang=en_US

المؤلفون: Lenkšas, Antanas

مصطلحات موضوعية: Heston model, weak approximations, options, stochastic differential equations

وصف الملف: application/pdf

URL الوصول: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::319a52a2110eb48d0e377509bfefa657
https://repository.vu.lt/VU:ELABAETD18270166&prefLang=en_US

المؤلفون: L. Abbaoui, R. Zeghdane, Ángel Tocino

المصدر: Journal of Computational and Applied Mathematics. 236(6):1009-1023

مصطلحات موضوعية: Degree (graph theory), Multiple integral, Applied Mathematics, Mathematical analysis, Stability (probability), Noise, Stochastic differential equation, Computational Mathematics, Weak approximations, Semi-implicit schemes, Weak numerical schemes, Applied mathematics, Order (group theory), Stiff stochastic differential equations, Random variable, Stochastic Taylor formula, Selection (genetic algorithm), Mean-square stability, Mathematics

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0cad6dbf1851ac66b03efee936a7cb29

المؤلفون: Lenkšas, Antanas, Mackevičius, Vigirdas

المصدر: Lithuanian mathematical journal, New York : Springer, 2015, Vol. 55, no 4, p. 555-572 ; ISSN 0363-1672

مصطلحات موضوعية: Heston model, CIR, weak approximations, split-step approximations, option pricing

Relation: http://vu.lvb.lt/VU:ELABAPDB13608682&prefLang=en_US

الاتاحة: http://vu.lvb.lt/VU:ELABAPDB13608682&prefLang=en_US

المؤلفون: Lenkšas, Antanas, Mackevičius, Vigirdas

المصدر: Mathematics and computers in simulation, Amsterdam : Elsevier Science B.V., 2015, Vol. 113, p. 1-15 ; ISSN 0378-4754

مصطلحات موضوعية: Heston model, CIR, Weak approximations, Split-step approximations, Option pricing

Relation: http://vu.lvb.lt/VU:ELABAPDB8204853&prefLang=en_US

الاتاحة: http://vu.lvb.lt/VU:ELABAPDB8204853&prefLang=en_US

المؤلفون: Mackevičius, Vigirdas

المصدر: Lithuanian mathematical journal, New York : Springer, 2015, Vol. 55, no. 1, p. 119-133 ; ISSN 0363-1672

مصطلحات موضوعية: Verhulst equation, CIR equation, Simulation, Strong and weak approximations, Split-step approximations, Moments of a process, Moment-closure condition

Relation: http://vu.lvb.lt/VU:ELABAPDB8186151&prefLang=en_US

الاتاحة: http://vu.lvb.lt/VU:ELABAPDB8186151&prefLang=en_US