L. Jeff Hong's Research Group
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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
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