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The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
dc.contributor.author | Grzelak, L. A. | |
dc.contributor.author | Witteveen, J. A. S. | |
dc.contributor.author | Suárez Taboada, María | |
dc.contributor.author | Oosterlee, Cornelis W. | |
dc.date.accessioned | 2024-07-18T16:30:47Z | |
dc.date.available | 2024-07-18T16:30:47Z | |
dc.date.issued | 2019 | |
dc.identifier.citation | Grzelak, L. A., Witteveen, J. A. S., Suárez-Taboada, M., & Oosterlee, C. W. (2018). The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions. Quantitative Finance, 19(2), 339–356. https://doi.org/10.1080/14697688.2018.1459807 | es_ES |
dc.identifier.issn | 1469-7688 | |
dc.identifier.issn | 1469-7696 | |
dc.identifier.uri | http://hdl.handle.net/2183/38158 | |
dc.description.abstract | [Abstract]: In this article, we propose an efficient approach for inverting computationally expensive cumulative distribution functions. A collocation method, called the Stochastic Collocation Monte Carlo sampler (SCMC sampler), within a polynomial chaos expansion framework, allows us the generation of any number of Monte Carlo samples based on only a few inversions of the original distribution plus independent samples from a standard normal variable. We will show that with this path-independent collocation approach the exact simulation of the Heston stochastic volatility model, as proposed in Broadie and Kaya [Oper. Res., 2006, 54, 217–231], can be performed efficiently and accurately. We also show how to efficiently generate samples from the squared Bessel process and perform the exact simulation of the SABR model. | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | Taylor and Francis Group & Routledge | es_ES |
dc.relation.uri | https://doi.org/10.1080/14697688.2018.1459807 | es_ES |
dc.rights | Atribución-NoComercial-SinDerivadas 4.0 Internacional | es_ES |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | * |
dc.subject | Exact sampling | es_ES |
dc.subject | Heston | es_ES |
dc.subject | Squared Bessel | es_ES |
dc.subject | SABR | es_ES |
dc.subject | Stochastic collocation | es_ES |
dc.subject | Lagrange interpolation | es_ES |
dc.subject | Monte Carlo | es_ES |
dc.title | The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.rights.access | info:eu-repo/semantics/openAccess | es_ES |
UDC.journalTitle | Quantitative Finance | es_ES |
UDC.volume | 19 | es_ES |
UDC.issue | 2 | es_ES |
UDC.startPage | 339 | es_ES |
UDC.endPage | 356 | es_ES |
dc.identifier.doi | 10.1080/14697688.2018.1459807 |
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