Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations.
Florian BourgeyStefano De MarcoEmmanuel GobetAlexandre ZhouPublished in: Monte Carlo Methods Appl. (2020)
Keyphrases
- monte carlo methods
- upper bound
- monte carlo
- lower bound
- upper and lower bounds
- generalization error
- bayesian networks
- worst case
- lower and upper bounds
- support vector
- monte carlo method
- simulated annealing
- efficiently computable
- tight upper and lower bounds
- sample size
- particle filter
- conditional probabilities
- theoretical analysis
- support vector machine
- probability distribution
- objective function
- machine learning