181 citations · 755 across the 107 of their papers we have counts for
Showing 2010Show all
3 papers · 1 filter
stat.CO2010★ 5 cited
The Time Machine: A Simulation Approach for Stochastic Trees
Ajay Jasra, Maria De Iorio, Marc Chadeau-Hyam
In the following paper we consider a simulation technique for stochastic trees. One of the most important areas in computational genetics is the calculation and subsequent maximiza…
stat.CO2010★ 1 cited
Sequential Monte Carlo Methods for Option Pricing
Ajay Jasra, Pierre Del Moral
In the following paper we provide a review and development of sequential Monte Carlo (SMC) methods for option pricing. SMC are a class of Monte Carlo-based algorithms, that are des…
q-fin.PM2010★ 1 cited
Robust and Adaptive Algorithms for Online Portfolio Selection
Theodoros Tsagaris, Ajay Jasra, Niall Adams
We present an online approach to portfolio selection. The motivation is within the context of algorithmic trading, which demands fast and recursive updates of portfolio allocations…