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20152026
most citedHierarchical adaptive sparse grids and quasi Monte Carlo for option pricing under the rough Bergomi model

17 citations · 48 across the 14 of their papers we have counts for

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math.NA2019★ 1 cited

Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks

Chiheb Ben Hammouda, Nadhir Ben Rached, Raul Tempone

The multilevel Monte Carlo (MLMC) method for continuous-time Markov chains, first introduced by Anderson and Higham (SIAM Multiscal Model. Simul. 10(1), 2012), is a highly efficien…