المؤلفون: Dassios, A, Zhang, J

المساهمون: Department of Applied Mathematics

مصطلحات موضوعية: Exact simulation, Gamma process, Generalised gamma process, Lévy process, Poisson-Dirichlet distribution

Relation: http://hdl.handle.net/10397/109580; 25; 64; OA_Scopus/WOS

الاتاحة: http://hdl.handle.net/10397/109580
https://doi.org/10.1007/s11009-023-10040-3

المؤلفون: van Rhijn, Jorino, Oosterlee, Cornelis W., Grzelak, Lech A., Liu, Shuaiqiang

المساهمون: Sub Mathematical Modeling, Mathematical Modeling

مصطلحات موضوعية: Exact simulation, Generative adversarial networks, Monte Carlo sampling, Neural networks, Path-wise conditional distribution, Stochastic differential equations, General Engineering, Applied Mathematics

وصف الملف: application/pdf

Relation: https://dspace.library.uu.nl/handle/1874/431754

الاتاحة: https://dspace.library.uu.nl/handle/1874/431754

المؤلفون: Sabino, Piergiacomo

المساهمون: Department of Mathematics and Statistics, University of Helsinki

مصطلحات موضوعية: Levy-driven Ornstein-Uhlenbeck processes, CGMY process, tempered stable distributions, exact simulation, energy markets, derivative pricing, SWING OPTIONS, VALUATION, MODELS, SIMULATION, CURVES, Mathematics, Economics

وصف الملف: application/pdf

Relation: I would like to express my gratitude to Matteo Gardini and Nicola Cufaro Petroni for their help relative to the application of the FFT method. Open access funding provided by University of Helsinki.; Sabino , P 2022 , ' Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein-Uhlenbeck Type ' , Risks , vol. 10 , no. 8 , 148 . https://doi.org/10.3390/risks10080148; http://hdl.handle.net/10138/347831; 38fc417e-7be6-43bf-98e4-be7cfaa72040; 000845321000001

الاتاحة: http://hdl.handle.net/10138/347831

المؤلفون: Piergiacomo Sabino

المصدر: Risks; Volume 10; Issue 8; Pages: 148

مصطلحات موضوعية: Lévy-driven Ornstein–Uhlenbeck processes, CGMY process, tempered stable distributions, exact simulation, energy markets, derivative pricing

وصف الملف: application/pdf

Relation: https://dx.doi.org/10.3390/risks10080148

الاتاحة: https://doi.org/10.3390/risks10080148

المؤلفون: Zhong, Peng, Huser, Raphaël, Opitz, Thomas

المساهمون: Statistics, Computer, Electrical and Mathematical Science and Engineering (CEMSE) Division, Statistics Program, BioSP, INRAE, Avignon, 84914, France

مصطلحات موضوعية: Adaptive rejection sampling, Exact simulation, Extremal function, Maxinfinitely divisible process, Max-stable process

وصف الملف: application/pdf

Relation: https://linkinghub.elsevier.com/retrieve/pii/S2452306222000156; 2103.00533; Zhong, P., Huser, R., & Opitz, T. (2022). Exact Simulation of Max-Infinitely Divisible Processes. Econometrics and Statistics. https://doi.org/10.1016/j.ecosta.2022.02.007; 2-s2.0-85127353819; Econometrics and Statistics; http://hdl.handle.net/10754/668027

الاتاحة: http://hdl.handle.net/10754/668027
https://doi.org/10.1016/j.ecosta.2022.02.007

المؤلفون: Choi, Jaehyuk, Kwok, Yue Kuen

مصطلحات موضوعية: (B) finance, Exact simulation, Gamma expansion, Heston model, Poisson conditioning

Relation: https://repository.hkust.edu.hk/ir/Record/1783.1-133265; European Journal of Operational Research, v. 314, (1), April 2024, p. 363-376; https://doi.org/10.1016/j.ejor.2023.10.048; http://lbdiscover.ust.hk/uresolver?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rfr_id=info:sid/HKUST:SPI&rft.genre=article&rft.issn=0377-2217&rft.volume=314&rft.issue=1&rft.date=2024&rft.spage=363&rft.aulast=Choi&rft.aufirst=Jaehyuk&rft.atitle=Simulation+schemes+for+the+Heston+model+with+Poisson+conditioning&rft.title=European+Journal+of+Operational+Research; http://www.scopus.com/record/display.url?eid=2-s2.0-85176221296&origin=inward; http://gateway.isiknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=LinksAMR&SrcApp=PARTNER_APP&DestLinkType=FullRecord&DestApp=WOS&KeyUT=001138766100001

الاتاحة: https://repository.hkust.edu.hk/ir/Record/1783.1-133265
https://doi.org/10.1016/j.ejor.2023.10.048
http://lbdiscover.ust.hk/uresolver?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rfr_id=info:sid/HKUST:SPI&rft.genre=article&rft.issn=0377-2217&rft.volume=314&rft.issue=1&rft.date=2024&rft.spage=363&rft.aulast=Choi&rft.aufirst=Jaehyuk&rft.atitle=Simulation+schemes+for+the+Heston+model+with+Poisson+conditioning&rft.title=European+Journal+of+Operational+Research
http://www.scopus.com/record/display.url?eid=2-s2.0-85176221296&origin=inward
http://gateway.isiknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=LinksAMR&SrcApp=PARTNER_APP&DestLinkType=FullRecord&DestApp=WOS&KeyUT=001138766100001

المؤلفون: Mickel, Annalena, Neuenkirch, Andreas

مصطلحات موضوعية: ddc:330, discretization schemes for SDEs, exact simulation of the CIR process, Heston model, Kolmogorov PDE, Malliavin calculus

Relation: gbv-ppn:1746705426; Journal: Risks; Volume: 9; Year: 2021; Issue: 1; Pages: 1-38; Basel: MDPI; http://hdl.handle.net/10419/258113

الاتاحة: http://hdl.handle.net/10419/258113
https://doi.org/10.3390/risks9010023

المؤلفون: Møller, Jesper

المصدر: Scandinavian Journal of Statistics, 2003 Sep 01. 30(3), 549-564.

URL الوصول: https://www.jstor.org/stable/4616783

المؤلفون: Dimakos, Xeni K.

المصدر: International Statistical Review / Revue Internationale de Statistique, 2001 Apr 01. 69(1), 27-48.

URL الوصول: https://www.jstor.org/stable/1403528

المؤلفون: Kendall, Wilfrid S., Møller, Jesper

المصدر: Advances in Applied Probability, 2000 Sep 01. 32(3), 844-865.

URL الوصول: https://www.jstor.org/stable/1428416

المؤلفون: Burdzy, Krzysztof, Kendall, Wilfrid S.

المصدر: The Annals of Applied Probability, 2000 May 01. 10(2), 362-409.

URL الوصول: https://www.jstor.org/stable/2667155

المؤلفون: Häggström, Olle, Møller, Jesper

المصدر: Bernoulli, 1999 Aug 01. 5(4), 641-658.

URL الوصول: https://www.jstor.org/stable/3318694

المؤلفون: Moller, Jesper

المصدر: Journal of the Royal Statistical Society. Series B (Statistical Methodology), 1999 Jan 01. 61(1), 251-264.

URL الوصول: https://www.jstor.org/stable/2680749

المؤلفون: Moller, Jesper, Schladitz, Katja

المصدر: Journal of the Royal Statistical Society. Series B (Statistical Methodology), 1999 Jan 01. 61(4), 955-969.

URL الوصول: https://www.jstor.org/stable/2680716

المؤلفون: Dassios, Angelos, Zhang, Junyi

مصطلحات موضوعية: ddc:330, Brownian motion, Parisian time, exact simulation, real-time gross settlement system

Relation: gbv-ppn:1743899734; Journal: Risks; Volume: 8; Year: 2020; Issue: 4; Pages: 1-14; Basel: MDPI; http://hdl.handle.net/10419/258080

الاتاحة: http://hdl.handle.net/10419/258080
https://doi.org/10.3390/risks8040127

المؤلفون: Dassios, Angelos, Qu, Yan, Lim, Jia Wei

المصدر: Dassios , A , Qu , Y & Lim , J W 2019 , ' Exact simulation of generalised Vervaat perpetuities ' , Journal of Applied Probability , vol. 56 , no. 1 , pp. 57-75 . https://doi.org/10.1017/jpr.2019.6

مصطلحات موضوعية: Dickman distribution, exact simulation, marked renewal process, truncated gamma process, Vervaat perpetuity

وصف الملف: application/pdf

الاتاحة: https://hdl.handle.net/1983/a56635c6-3e9d-48ed-bcf5-177ab8cf8da7
https://research-information.bris.ac.uk/en/publications/a56635c6-3e9d-48ed-bcf5-177ab8cf8da7
https://doi.org/10.1017/jpr.2019.6
https://research-information.bris.ac.uk/ws/files/206852298/Full_text_PDF_accepted_author_manuscript_.pdf
http://www.scopus.com/inward/record.url?scp=85068922637&partnerID=8YFLogxK

المؤلفون: Herrmann, Samuel, Zucca, Cristina

المساهمون: Institut de Mathématiques de Bourgogne Dijon (IMB), Université de Bourgogne (UB)-Université Bourgogne Franche-Comté COMUE (UBFC)-Centre National de la Recherche Scientifique (CNRS), Dipartimento di Matematica "Giuseppe Peano" Torino, Università degli studi di Torino = University of Turin (UNITO)

المصدر: https://hal.science/hal-02496227 ; 2020.

مصطلحات موضوعية: Brownian motion, Exit time, diffusion processes, exact simulation, Rejection sampling, multi-armed bandit, randomized algorithm, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]

Relation: hal-02496227; https://hal.science/hal-02496227; https://hal.science/hal-02496227/document; https://hal.science/hal-02496227/file/FET-multi-armed-bandit-2020-03.pdf

الاتاحة: https://hal.science/hal-02496227
https://hal.science/hal-02496227/document
https://hal.science/hal-02496227/file/FET-multi-armed-bandit-2020-03.pdf

المؤلفون: Kouye, Henri

المساهمون: Mathematics and computing applied to oceanic and atmospheric flows (AIRSEA), Inria Grenoble - Rhône-Alpes, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-Université Grenoble Alpes (UGA)-Laboratoire Jean Kuntzmann (LJK), Institut National de Recherche en Informatique et en Automatique (Inria)-Centre National de la Recherche Scientifique (CNRS)-Université Grenoble Alpes (UGA)-Institut polytechnique de Grenoble - Grenoble Institute of Technology (Grenoble INP ), Université Grenoble Alpes (UGA)-Centre National de la Recherche Scientifique (CNRS)-Institut polytechnique de Grenoble - Grenoble Institute of Technology (Grenoble INP ), Université Grenoble Alpes (UGA), Mathématiques et Informatique Appliquées du Génome à l'Environnement [Jouy-En-Josas] (MaIAGE), Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), Université Paris-Saclay, Elisabeta Vergu, Clémentine Prieur

المصدر: Statistics [math.ST]. Université Paris-Saclay, 2022. English. ⟨NNT : 2022UPASM038⟩

مصطلحات موضوعية: Exact simulation algorithms, Algorithmes de simulation exacte, Analyse de sensibilité, Monte Carlo methods, Modèles épidémiologiques, Sobol' indices, Méthodes de Monte Carlo, Epidemic models, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], Stochastic processes, Processus stochastiques, [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST], Sensitivity analysis, Indices de Sobol, [STAT.ME]Statistics [stat]/Methodology [stat.ME]

URL الوصول: https://explore.openaire.eu/search/publication?articleId=od_______165::3b56b352e297a4eac4e90d995d872312
https://theses.hal.science/tel-03883271v2/file/117640_KOUYE_2022_archivage.pdf

المؤلفون: Garcia-Pareja, Celia, Hult, Henrik, 1975, Koski, Timo, 1952

المصدر: Advances in Applied Probability. 53(4):923-950

مصطلحات موضوعية: Exact simulation, rejection algorithm, multivariate diffusions, population genetics, coupled Wright-Fisher model, epistasis

وصف الملف: print

URL الوصول: https://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-306756

المؤلفون: Gloaguen, Pierre, Etienne, Marie-Pierre, Le Corff, Sylvain

المساهمون: Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER), Mathématiques et Informatique Appliquées (MIA-Paris), Institut National de la Recherche Agronomique (INRA)-AgroParisTech, Département de Mathématiques-Université de Paris XI, Université Paris-Sud - Paris 11 (UP11)

المصدر: ISSN: 0035-9254 ; EISSN: 1467-9876.

مصطلحات موضوعية: Movement model, Stochastic differential equation, Exact simulation, Local linearization, Pseudo-likelihood methods, [STAT.AP]Statistics [stat]/Applications [stat.AP], [SDE.BE]Environmental Sciences/Biodiversity and Ecology

Relation: info:eu-repo/semantics/altIdentifier/arxiv/1509.09103; hal-01207001; https://hal.science/hal-01207001; https://hal.science/hal-01207001v3/document; https://hal.science/hal-01207001v3/file/final_document.pdf; ARXIV: 1509.09103

الاتاحة: https://hal.science/hal-01207001
https://hal.science/hal-01207001v3/document
https://hal.science/hal-01207001v3/file/final_document.pdf