Application of Quasi Monte Carol and Global Sensitivity Analysis to Option Pricing and Greeks: Finite Differences vs. AAD

Wilmott ◽

10.1002/wilm.10972 ◽

2021 ◽

Vol 2021 (116) ◽

pp. 66-83

Author(s):

Stefano Scoleri ◽

Marco Bianchetti ◽

Sergei Kucherenko

Keyword(s):

Sensitivity Analysis ◽

Option Pricing ◽

Finite Differences ◽

Global Sensitivity Analysis ◽

Global Sensitivity

Download Full-text

Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks

SSRN Electronic Journal ◽

10.2139/ssrn.2911698 ◽

2017 ◽

Author(s):

Stefano Scoleri ◽

Marco Bianchetti ◽

Sergei Kucherenko

Keyword(s):

Sensitivity Analysis ◽

Monte Carlo ◽

Option Pricing ◽

Global Sensitivity Analysis ◽

Global Sensitivity ◽

Quasi Monte Carlo

Download Full-text

Moment-independence global sensitivity analysis for the system with fuzzy failure state and its Kriging method

Journal of Systems Engineering and Electronics ◽

10.21629/jsee.2018.03.23 ◽

2018 ◽

Vol 29 (3) ◽

pp. 658

Keyword(s):

Sensitivity Analysis ◽

Global Sensitivity Analysis ◽

Kriging Method ◽

Global Sensitivity ◽

Download Full-text

What Makes a First‐Magnitude Spring?: Global Sensitivity Analysis of a Speleogenesis Model to Gain Insight into Karst Network and Spring Genesis

Water Resources Research ◽

10.1029/2017wr021950 ◽

2018 ◽

Vol 54 (10) ◽

pp. 7417-7434 ◽

Author(s):

Wesley R. Henson ◽

Rob Rooij ◽

Wendy Graham

Keyword(s):

Sensitivity Analysis ◽

Global Sensitivity Analysis ◽

Global Sensitivity ◽

Download Full-text

NZEB schools: global sensitivity analysis to optimize design features of school buildings

IOP Conference Series Earth and Environmental Science ◽

10.1088/1755-1315/296/1/012043 ◽

2019 ◽

Vol 296 ◽

pp. 012043

Author(s):

F Bazzocchi ◽

C Ciacci ◽

V Di Naso ◽

A Rocchetti

Keyword(s):

Sensitivity Analysis ◽

Global Sensitivity Analysis ◽

School Buildings ◽

Design Features ◽

Global Sensitivity ◽

Optimize Design

Download Full-text

Global sensitivity analysis of reliability of structural bridge system

Engineering Structures ◽

10.1016/j.engstruct.2019.05.045 ◽

2019 ◽

Vol 194 ◽

pp. 36-45 ◽

Author(s):

Zdeněk Kala

Keyword(s):

Sensitivity Analysis ◽

Global Sensitivity Analysis ◽

Global Sensitivity ◽

Download Full-text

Preliminary global sensitivity analysis of a uterine electrical activity model

2013 35th Annual International Conference of the IEEE Engineering in Medicine and Biology Society (EMBC) ◽

10.1109/embc.2013.6611278 ◽

2013 ◽

Author(s):

Jeremy Laforet ◽

Catherine Marque

Keyword(s):

Sensitivity Analysis ◽

Electrical Activity ◽

Global Sensitivity Analysis ◽

Activity Model ◽

Global Sensitivity ◽

Uterine Electrical Activity

Download Full-text

Global sensitivity analysis for assessing the parameters importance and setting a stopping criterion in a biomedical inverse problem

International Journal for Numerical Methods in Biomedical Engineering ◽

10.1002/cnm.3458 ◽

2021 ◽

Author(s):

Robert Rapadamnaba ◽

Mathieu Ribatet ◽

Bijan Mohammadi

Keyword(s):

Inverse Problem ◽

Sensitivity Analysis ◽

Global Sensitivity Analysis ◽

Stopping Criterion ◽

Global Sensitivity

Download Full-text

Uncertainty and global sensitivity analysis of levelized cost of energy in wind power generation

Energy Conversion and Management ◽

10.1016/j.enconman.2020.113781 ◽

2021 ◽

Vol 229 ◽

pp. 113781

Author(s):

Mi Dong ◽

Ya Li ◽

Dongran Song ◽

Jian Yang ◽

Mei Su ◽

...

Keyword(s):

Power Generation ◽

Sensitivity Analysis ◽

Global Sensitivity Analysis ◽

Wind Power Generation ◽

Global Sensitivity ◽

Levelized Cost ◽

Download Full-text

A Data-Driven Global Sensitivity Analysis Framework for Three-Phase Distribution System with PVs

IEEE Transactions on Power Systems ◽

10.1109/tpwrs.2021.3069009 ◽

2021 ◽

pp. 1-1

Author(s):

Ketian Ye ◽

Junbo Zhao ◽

Can Huang ◽

Nan Duan ◽

Yingchen Zhang ◽

...

Keyword(s):

Sensitivity Analysis ◽

Distribution System ◽

Global Sensitivity Analysis ◽

Phase Distribution ◽

Data Driven ◽

Analysis Framework ◽

Global Sensitivity ◽

Download Full-text

Impact of reservoir geochemistry on low salinity waterflooding: Global sensitivity analysis

Journal of Petroleum Science and Engineering ◽

10.1016/j.petrol.2021.109056 ◽

2021 ◽

pp. 109056

Author(s):

Ahmed M.S. Elgendy ◽

Giovanni M. Porta

Keyword(s):

Sensitivity Analysis ◽

Global Sensitivity Analysis ◽

Global Sensitivity ◽

Low Salinity ◽

Low Salinity Waterflooding

Download Full-text