Applications of simulation methods to barrier options driven by Lévy processes.
Roşca, Alin V., Roşca, Natalia C. (2010)
Acta Universitatis Apulensis. Mathematics - Informatics
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Displaying similar documents to “A combined Monte Carlo and quasi-Monte Carlo method with applications to option pricing.”
Applications of simulation methods to barrier options driven by Lévy processes.
A mixed Monte Carlo and quasi-Monte Carlo sequence for multidimensional integral estimation.
Roşca, Alin V. (2007)
Acta Universitatis Apulensis. Mathematics - Informatics
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A generalization of the Gumbel distribution
Shola Adeyemi, Mathew Oladejo Ojo (2003)
Kragujevac Journal of Mathematics
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On -discrepancy and mixed Monte Carlo and quasi-Monte Carlo sequences.
Gnewuch, Michael, Roşca, Alin V. (2009)
Acta Universitatis Apulensis. Mathematics - Informatics
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Risk management using var simulation with applications to Bucharest stock exchange.
Roşca, Alin V. (2008)
Acta Universitatis Apulensis. Mathematics - Informatics
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Corrigendum to the paper "On the distribution of s-dimensional Kronecker sequences" Acta Arith. 51 (1988), 335-347
Gerhard Larcher (1991)
Acta Arithmetica
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Records and concomitants.
Ahsanullah, M. (2009)
Bulletin of the Malaysian Mathematical Sciences Society. Second Series
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On accuracy of improved -approximations.
Ulyanov, V.V., Fujikoshi, Y. (2001)
Georgian Mathematical Journal
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Minimax Prediction for the Multinomial and Multivariate Hypergeometric Distributions
Alicja Jokiel-Rokita (1998)
Applicationes Mathematicae
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A problem of minimax prediction for the multinomial and multivariate hypergeometric distribution is considered. A class of minimax predictors is determined for estimating linear combinations of the unknown parameter and the random variable having the multinomial or the multivariate hypergeometric distribution.
Some results of ruin probability for the classical risk process.
He, Yuanjiang, Li, Xucheng, Zhang, John (2003)
Journal of Applied Mathematics and Decision Sciences
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The extreme value Birnbaum-Saunders model, its moments and an application in biometry
M. Ivette Gomes, Marta Ferreira, Víctor Leiva (2012)
Biometrical Letters
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The Birnbaum-Saunders (BS) model is a life distribution that has been widely studied and applied. Recently, a new version of the BS distribution based on extreme value theory has been introduced, named the extreme value Birnbaum-Saunders (EVBS) distribution. In this article we provide some further details on the EVBS models that can be useful as a supplement to the existing results. We use these models to analyse real survival time data for patients treated with alkylating agents for...
Rate of growth of a transient cookie random walk.
Basdevant, Anne-Laure, Singh, Arvind (2008)
Electronic Journal of Probability [electronic only]
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Asymptotic distributions οf linear combinations of order statistics
Małgorzata Bogdan (1994)
Applicationes Mathematicae
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We study the asymptotic distributions of linear combinations of order statistics (L-statistics) which can be expressed as differentiable statistical functionals and we obtain Berry-Esseen type bounds and the Edgeworth series for the distribution functions of L-statistics. We also analyze certain saddlepoint approximations for the distribution functions of L-statistics.