Zobrazeno 1 - 10
of 60
pro vyhledávání: '"Sergei Kucherenko"'
Publikováno v:
Mathematics, Vol 9, Iss 19, p 2489 (2021)
For multidimensional dependent cases with incomplete probability information of random variables, global sensitivity analysis (GSA) theory is not yet mature. The joint probability density function (PDF) of multidimensional variables is usually unknow
Externí odkaz:
https://doaj.org/article/bfbbbbb459f94a0aba55bcb261e83318
Publikováno v:
Web of Science
The calculation of option Greeks is vital for risk management. Traditional pathwise and finite-difference methods work poorly for higher-order Greeks and options with discontinuous payoff functions. The Quasi-Monte Carlo-based conditional pathwise me
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9fbbdf1d8103314c3747d03afac434ff
http://arxiv.org/abs/2209.11337
http://arxiv.org/abs/2209.11337
Autor:
Sergei Kucherenko, Julien Hok
Publikováno v:
Wilmott. 2021:62-69
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2f159fa6a5bb8c2fe92a247e9210a757
https://doi.org/10.1002/wilm.10930
https://doi.org/10.1002/wilm.10930
Autor:
Deanna Morgan, Sergei Kucherenko
Publikováno v:
Wilmott. 2020:58-69
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d2c7c4f0f5d3e8aae36773c12338646d
https://doi.org/10.1002/wilm.10876
https://doi.org/10.1002/wilm.10876
Publikováno v:
Reliability Engineering & System Safety. 187:142-148
Global sensitivity (also called “uncertainty importance measure”) can reflect the effect of input variables on output response. The variance-based importance measure proposed by Sobol’ has highly general applicability. The Sobol’ total sensit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a1c2895cbb1b90ede1e8998c0a0a65c0
https://doi.org/10.1016/j.ress.2018.04.024
https://doi.org/10.1016/j.ress.2018.04.024
Publikováno v:
Reliability Engineering & System Safety. 187:149-158
Sensitivity analysis is considered a useful tool for determining sensitivities and assessing uncertainties of computational models, which is critical for the performance assessment of final repository models. One group of methods of sensitivity analy
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a76a8c15dd7e9a6756820d2bad3b15d7
https://doi.org/10.1016/j.ress.2018.12.004
https://doi.org/10.1016/j.ress.2018.12.004
Publikováno v:
Reliability Engineering & System Safety. 185:35-48
New global sensitivity measures based on quantiles of the output are introduced. Such measures can be used for global sensitivity analysis of problems in which αth quantiles are explicitly the functions of interest and for identification of variable
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::29c0267381839bc0584f73130499cfbc
https://doi.org/10.1016/j.ress.2018.12.001
https://doi.org/10.1016/j.ress.2018.12.001
Autor:
Takuya Iwanaga, Saman Razavi, Hoshin V. Gupta, Clémentine Prieur, Joseph H. A. Guillaume, Elmar Plischke, Xifu Sun, John D. Jakeman, Anthony Jakeman, Holger R. Maier, Bertrand Iooss, Stefan Smith, Vincent Chabridon, Samuele Lo Piano, Nasim Hosseini, Masoud Asadzadeh, Qingyun Duan, R. Sheikholeslami, William E. Becker, Emanuele Borgonovo, Arnald Puy, Stefano Tarantola, Andrea Saltelli, Sergei Kucherenko, Giovanni Rabitti, Nicola Melillo
Publikováno v:
Environmental Modelling and Software
Environmental Modelling and Software, Elsevier, 2021, 137, pp.1-22. ⟨10.1016/j.envsoft.2020.104954⟩
Environmental Modelling and Software, 2021, 137, pp.104954. ⟨10.1016/j.envsoft.2020.104954⟩
Environmental Modelling and Software, Elsevier, 2021, 137, pp.104954. ⟨10.1016/j.envsoft.2020.104954⟩
Environmental Modelling & Software
Environmental Modelling and Software, Elsevier, 2021, 137, pp.1-22. ⟨10.1016/j.envsoft.2020.104954⟩
Environmental Modelling and Software, 2021, 137, pp.104954. ⟨10.1016/j.envsoft.2020.104954⟩
Environmental Modelling and Software, Elsevier, 2021, 137, pp.104954. ⟨10.1016/j.envsoft.2020.104954⟩
Environmental Modelling & Software
International audience; Sensitivity analysis (SA) is en route to becoming an integral part of mathematical modeling. The tremendous potential benefits of SA are, however, yet to be fully realized, both for advancing mechanistic and data-driven modeli
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5dfc1b9de41c7912e01e5aac86c47496
https://hal.archives-ouvertes.fr/hal-03139623
https://hal.archives-ouvertes.fr/hal-03139623
Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques are applied to pricing and hedging of representative financial instruments with increasing complexity. We compare standard Monte Carlo (MC) vs. QMC results using Sobol' low-disc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::77d0cc64a9f885cd5d70b25f3fc320ff
http://hdl.handle.net/11585/844448
http://hdl.handle.net/11585/844448
Publikováno v:
31st European Symposium on Computer Aided Process Engineering ISBN: 9780323885065
31st European Symposium on Computer Aided Process Engineering
31st European Symposium on Computer Aided Process Engineering
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::00b9bbd11996c9112b7350641956ea43
https://doi.org/10.1016/b978-0-323-88506-5.50136-4
https://doi.org/10.1016/b978-0-323-88506-5.50136-4