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Publications by ANTHONIE W. VAN DER STOEP

The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation

International Journal of Theoretical and Applied Finance

English

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Gamma Expansion of the Heston Stochastic Volatility Model

SSRN Electronic Journal

English

Optimal Discrete Hedging in the Heston Stochastic Volatility Model

SSRN Electronic Journal

English

Efficient Monte Carlo Simulation of a Dissipative Ising Chain

English

An Efficient Monte Carlo Simulation Strategy Based on Model Order Reduction and Artificial Neural Networks

English

Monte Carlo Simulation of Diatomic Molecules Using the Flexible Model.

Nihon Kikai Gakkai Ronbunshu, B Hen/Transactions of the Japan Society of Mechanical Engineers, Part B

Condensed Matter Physics

Mechanical Engineering

English

Nonequilibrium Candidate Monte Carlo Is an Efficient Tool for Equilibrium Simulation

Proceedings of the National Academy of Sciences of the United States of America

Multidisciplinary

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Crystal Structure Model Assembly Program Using Monte Carlo Simulation

Acta Crystallographica Section A Foundations of Crystallography

English

Simulation and the Monte Carlo Method

Applied Mathematics

English

Calibration and Advanced Simulation Schemes for the Wishart Stochastic Volatility Model

Quantitative Finance

English