GI-M2NICA - Artigos: Recent submissions
Now showing items 6-10 of 74
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Uncertainty quantification and Heston model
(SpringerOpen, 2018-07)[Abstract]: In this paper, we study the impact of the parameters involved in Heston model by means of Uncertainty Quantification. The Stochastic Collocation Method already used for example in computational fluid dynamics, ... -
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
(Taylor and Francis Group & Routledge, 2019)[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 ... -
PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
(Elsevier, 2018-03-01)[Abstract]: SABR models have been used to incorporate stochastic volatility to LIBOR market models (LMM) in order to describe interest rate dynamics and price interest rate derivatives. From the numerical point of view, ... -
Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
(Society for Industrial and Applied Mathematics (SIAM), 2016-06)[Abstract]: In this paper, we design a novel algorithm based on Least-Squares Monte Carlo (LSMC) in order to approximate the solution of discrete time Backward Stochastic Differential Equations (BSDEs). Our algorithm allows ... -
SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives
(Elsevier, 2014-09-01)[Abstract]: In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models to capture volatility smiles and skews in real markets, several extensions of LIBOR models ...