13 citations · 15 across the 3 of their papers we have counts for
5 papers
History matching with probabilistic emulators and active learning
Alfredo Garbuno-Inigo, F. Alejandro DiazDelaO, Konstantin M. Zuev
The scientific understanding of real-world processes has dramatically improved over the years through computer simulations. Such simulators represent complex mathematical models th…
Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation
Keegan Mendonca, Vasileios E. Kontosakos, Athanasios A. Pantelous +1
Barrier options are one of the most widely traded exotic options on stock exchanges. In this paper, we develop a new stochastic simulation method for pricing barrier options and es…
Statistical Inference
Konstantin Zuev
What is Statistics? Opinions vary. In fact, there is a continuous spectrum of attitudes toward statistics ranging from pure theoreticians, proving asymptotic efficiency and searchi…
The Maximum Number of 3- and 4-Cliques within a Planar Maximally Filtered Graph
Jenna Birch, Athanasios A. Pantelous, Konstantin Zuev
Planar Maximally Filtered Graphs (PMFG) are an important tool for filtering the most relevant information from correlation based networks such as stock market networks. One of the…
Subset Simulation Method for Rare Event Estimation: An Introduction
Konstantin Zuev
This paper provides a detailed introductory description of Subset Simulation, an advanced stochastic simulation method for estimation of small probabilities of rare failure events.…