113 citations · 173 across the 13 of their papers we have counts for
4 papers · 1 filter
Some Contributions to Sequential Monte Carlo Methods for Option Pricing
Deborshee Sen, Ajay Jasra, Yan Zhou
Pricing options is an important problem in financial engineering. In many scenarios of practical interest, financial option prices associated to an underlying asset reduces to comp…
Multilevel Particle Filters: Normalizing Constant Estimation
Ajay Jasra, Kengo Kamatani, Prince Prepah Osei +1
In this article we introduce two new estimates of the normalizing constant (or marginal likelihood) for partially observed diffusion (POD) processes, with discrete observations. On…
Forward and Inverse Uncertainty Quantification using Multilevel Monte Carlo Algorithms for an Elliptic Nonlocal Equation
Ajay Jasra, Kody Law, Yan Zhou
This paper considers uncertainty quantification for an elliptic nonlocal equation. In particular, it is assumed that the parameters which define the kernel in the nonlocal operator…
Multilevel Sequential Monte Carlo Samplers for Normalizing Constants
Pierre Del Moral, Ajay Jasra, Kody Law +1
This article considers the sequential Monte Carlo (SMC) approximation of ratios of normalizing constants associated to posterior distributions which in principle rely on continuum…