Topics in importance sampling and derivatives pricing
This thesis consists of four papers, presented in Chapters 2-5, on the topics of derivatives pricing and importance sampling for stochastic processes. In the first paper a model for the evolution of the forward density of the future value of an asset is proposed. The model is constructed with the ai...
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| Format: | Doctoral Thesis |
| Language: | English |
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KTH, Matematisk statistik
2015
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-159640 http://nbn-resolving.de/urn:isbn:978-91-7595-445-5 |