Abstract Quasi-Monte Carlo (QMC) methods are efficient simulation tools for
multidimensional integrations in financial engineering. Discontinuous functions occur …

In this article, we explain how the importance sampling technique can be generalized from
simulating expectations to computing the initial value of backward stochastic differential …

This work researched the exact simulation problem of the two kinds of stochastic volatility
models based on the Broadie and Kaya's work. Rejection sampling technique was deeply …

The Hawkes process serves as a natural choice for modeling self-exciting dynamics, such
as the behavior of an electronic exchange-hosted limit order book (LOB). However, due to …

利用蒙特卡罗模拟方法对离散障碍期权进行定价, 并结合对偶抽样, 条件期望, 重要性抽样3
种方差缩减技术降低模拟方差. 设计数值实验针对离散障碍期权进行定价分析 …

In this dissertation, we discuss the generation of low discrepancy sequences, randomization
of these sequences, and the transformation methods to generate normally distributed …

This paper proposes a new hybrid algorithm to price the arithmetic Asian options under the
geometric Brownian motion (GBM). The proposed algorithm is based on the control variate …

A Picard-type Iteration for Backward Stochastic Differential Equations: Convergence and
Importance Sampling Page 1 A Picard-type Iteration for Backward Stochastic Differential …

Les´ equations aux d´ eriv´ ees partielles jouent un rˆole tres important dans le monde de la
finance puisque la plupart des problemes de la finance sont mod´ elis´ esa l'aide d'´ …

This thesis develops efficient statistical procedures to price a barrier option using the Monte
Carlo (MC) approach. European options are very popular standard derivatives. An investor …