Recent advances in simulation for security pricing
WSC '95 Proceedings of the 27th conference on Winter simulation
Sample-path solution of stochastic variational inequalities, with applications to option pricing
WSC '96 Proceedings of the 28th conference on Winter simulation
Accelerated simulation for pricing Asian options
Proceedings of the 30th conference on Winter simulation
Options pricing: using simulation for option pricing
Proceedings of the 32nd conference on Winter simulation
Proceedings of the 32nd conference on Winter simulation
Option pricing: simulation in financial engineering
Proceedings of the 33nd conference on Winter simulation
On the Use of Quasi-Monte Carlo Methods in Computational Finance
ICCS '01 Proceedings of the International Conference on Computational Sciences-Part I
An exact subexponential-time lattice algorithm for Asian options
SODA '04 Proceedings of the fifteenth annual ACM-SIAM symposium on Discrete algorithms
Simulation in financial engineering: simulation in financial engineering
Proceedings of the 34th conference on Winter simulation: exploring new frontiers
Exact simulation of option greeks under stochastic volatility and jump diffusion models
WSC '04 Proceedings of the 36th conference on Winter simulation
Efficient stochastic sensitivity analysis of discrete event systems
Journal of Computational Physics
Monte Carlo methods for derivatives of options with discontinuous payoffs
Computational Statistics & Data Analysis
50th ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications
Management Science
Monte Carlo simulation in financial engineering
Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come
Kernel estimation for quantile sensitivities
Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come
A model for contact center analysis and simulation
Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come
Recent advances in simulation for security pricing (1995)
Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come
A New Computing Method for Greeks Using Stochastic Sensitivity Analysis
ICCS '07 Proceedings of the 7th international conference on Computational Science, Part II
Pricing American Asian options with higher moments in the underlying distribution
Journal of Computational and Applied Mathematics
Simulating Sensitivities of Conditional Value at Risk
Management Science
Estimating Quantile Sensitivities
Operations Research
Exotic options under Lévy models: An overview
Journal of Computational and Applied Mathematics
Parallelization and vectorization of simulation based option pricing methods
ICCSA'03 Proceedings of the 2003 international conference on Computational science and its applications: PartIII
Kernel Estimation of the Greeks for Options with Discontinuous Payoffs
Operations Research
Sensitivity analysis for barrier options
Winter Simulation Conference
Zeta: scheduling interactive services with partial execution
Proceedings of the Third ACM Symposium on Cloud Computing
Stochastic kriging for conditional value-at-risk and its sensitivities
Proceedings of the Winter Simulation Conference
Monte Carlo estimation of value-at-risk, conditional value-at-risk and their sensitivities
Proceedings of the Winter Simulation Conference
A reflection-based variance reduction technique for sum of random variables
Proceedings of the Winter Simulation Conference
Estimating greeks for variance-gamma
Proceedings of the Winter Simulation Conference
Control variates for sensitivity estimation
Proceedings of the Winter Simulation Conference
Proceedings of the Winter Simulation Conference
Pathwise derivative methods on single-asset american option sensitivity estimation
Proceedings of the Winter Simulation Conference
Numerical methods to quantify the model risk of basket default swaps
Journal of Computational and Applied Mathematics
| Hi-index | 0.01 |