5 citations · 5 across the 2 of their papers we have counts for
2 papers
physics.data-an2008
Reducing the Variance of Likelihood Ratio Greeks with Monte Carlo
Luca Capriotti
We investigate the use of Antithetic Variables, Control Variates and Importance Sampling to reduce the statistical errors of option sensitivities calculated with the Likelihood Rat…
q-fin.PR2007★ 5 cited
Least Squares Importance Sampling for Libor Market Models
Luca Capriotti
A recently introduced Importance Sampling strategy based on a least squares optimization is applied to the Monte Carlo simulation of Libor Market Models. Such Least Squares Importa…