Monte Carlo methods in Financial Engineering

Talk - Option Pricing by Neural Stochastic Differential Equations: A Simulation Optimization Approach

Meaningful sensitivities: A new family of simulation sensitivity measures

Option Pricing By Neural Stochastic Differential Equations: A Simulation-optimization Approach

Classical option pricing models rely on prior assumptions made on the dynamics of the underlying assets and the rationality of the market. While empirical evidence showed that these models may explain the option prices to certain extend, their …

Online risk monitoring using offline simulation

On gamma estimation via matrix kriging

Kernel smoothing for nested estimation with application to portfolio risk measurement

A simulation analytics approach to dynamic risk monitoring

Conditional value-at-risk approximation to value-at-risk constrained programs: A remedy via Monte Carlo

Estimating sensitivities of portfolio credit risk using Monte Carlo

Monte Carlo methods for value-at-risk and conditional value-at-risk: A review