Risk estimation

New publication in Quantitative Finance Journal

1 min read · Wed, Nov 2 2022

Adaptive sparse grid quadrature Quasi-Monte Carlo Numerical smoothing Richardson extrapolation option pricing Monte Carlo Distribution functions Greeks Risk estimation

At the end of October, the paper Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing by Christian Bayer ( Weierstrass Institute for Applied Analysis and Stochastics - WIAS) , Chiheb Ben Hammouda ( RWTH Aachen University ) , and Raul Tempone ( King Abdullah University of Science and Technology - KAUST; RWTH Aachen University ), was published in the Quantitative Finance Journal and is available at Taylor & Francis Online. Abstract: When approximating the expectations of a functional of a solution to a stochastic differential