{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,3,25]],"date-time":"2025-03-25T19:06:07Z","timestamp":1742929567917,"version":"3.40.3"},"publisher-location":"Cham","reference-count":12,"publisher":"Springer International Publishing","isbn-type":[{"type":"print","value":"9783030504359"},{"type":"electronic","value":"9783030504366"}],"license":[{"start":{"date-parts":[[2020,1,1]],"date-time":"2020-01-01T00:00:00Z","timestamp":1577836800000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"},{"start":{"date-parts":[[2020,1,1]],"date-time":"2020-01-01T00:00:00Z","timestamp":1577836800000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2020]]},"DOI":"10.1007\/978-3-030-50436-6_38","type":"book-chapter","created":{"date-parts":[[2020,6,19]],"date-time":"2020-06-19T19:03:44Z","timestamp":1592593424000},"page":"520-528","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Global Sensitivity Analysis of Various Numerical Schemes for the Heston Model"],"prefix":"10.1007","author":[{"given":"Emanouil","family":"Atanassov","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Sergei","family":"Kucherenko","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Aneta","family":"Karaivanova","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2020,6,15]]},"reference":[{"key":"38_CR1","doi-asserted-by":"publisher","first-page":"440","DOI":"10.1016\/j.ress.2010.11.003","volume":"96","author":"S Kucherenko","year":"2011","unstructured":"Kucherenko, S., Feil, B., Shah, N., Mauntz, W.: The identification of model effective dimensions using global sensitivity analysis. Reliab. Eng. Syst. Safe. 96, 440\u2013449 (2011)","journal-title":"Reliab. Eng. Syst. Safe."},{"key":"38_CR2","unstructured":"Software for generating the Sobol sequences by BRODA. https:\/\/www.broda.co.uk\/software.html. Accessed 7 Feb 2020"},{"issue":"474","key":"38_CR3","doi-asserted-by":"publisher","first-page":"712","DOI":"10.1198\/016214505000001410","volume":"101","author":"R Liu","year":"2006","unstructured":"Liu, R., Owen, A.: Estimating mean dimensionality of analysis of variance decompositions. J. Am. Stat. Assoc. 101(474), 712\u2013721 (2006)","journal-title":"J. Am. Stat. Assoc."},{"key":"38_CR4","doi-asserted-by":"crossref","unstructured":"Bianchetti, M., Kucherenko, S., Scoleri, S.: Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis. Wilmott, July, pp. 46\u201370 (2015)","DOI":"10.1002\/wilm.10434"},{"key":"38_CR5","doi-asserted-by":"publisher","unstructured":"Andersen, L.B.G.: Efficient simulation of the Heston stochastic volatility model, 23 January 2007. https:\/\/doi.org\/10.10007\/ssrn.946405","DOI":"10.10007\/ssrn.946405"},{"key":"38_CR6","series-title":"Lecture Notes in Computer Science","doi-asserted-by":"publisher","first-page":"91","DOI":"10.1007\/3-540-36487-0_9","volume-title":"Numerical Methods and Applications","author":"EI Atanassov","year":"2003","unstructured":"Atanassov, E.I., Durchova, M.K.: Generating and testing the modified halton sequences. In: Dimov, I., Lirkov, I., Margenov, S., Zlatev, Z. (eds.) NMA 2002. LNCS, vol. 2542, pp. 91\u201398. Springer, Heidelberg (2003). https:\/\/doi.org\/10.1007\/3-540-36487-0_9"},{"issue":"2","key":"38_CR7","doi-asserted-by":"publisher","first-page":"217","DOI":"10.1287\/opre.1050.0247","volume":"54","author":"M Broadie","year":"2006","unstructured":"Broadie, M., Kaya, O.: Exact simulation of stochastic volatility and other affine jump diffusion models. Oper. Res. 54(2), 217\u2013231 (2006)","journal-title":"Oper. Res."},{"key":"38_CR8","first-page":"414","volume":"23","author":"G Milstein","year":"1978","unstructured":"Milstein, G.: A method of second order accuracy integration of stochastic differential equations. Teoriya Veroyatnostei i ee Primeneniya 23, 414\u2013419 (1978)","journal-title":"Teoriya Veroyatnostei i ee Primeneniya"},{"issue":"2","key":"38_CR9","doi-asserted-by":"publisher","first-page":"327","DOI":"10.1093\/rfs\/6.2.327","volume":"6","author":"S Heston","year":"1993","unstructured":"Heston, S.: A closed-form solution of options with stochastic volatility with applications to bond and currency options. Rev. Financial Stud. 6(2), 327\u2013343 (1993)","journal-title":"Rev. Financial Stud."},{"issue":"6","key":"38_CR10","doi-asserted-by":"publisher","first-page":"513","DOI":"10.1080\/14697680600841108","volume":"6","author":"C Kahl","year":"2005","unstructured":"Kahl, C., Jackel, P.: Fast strong approximation Monte-Carlo schemes for SV models. Quant. Financ. 6(6), 513\u2013536 (2005)","journal-title":"Quant. Financ."},{"issue":"2","key":"38_CR11","doi-asserted-by":"publisher","first-page":"177","DOI":"10.1080\/14697680802392496","volume":"10","author":"R Lord","year":"2010","unstructured":"Lord, R., Koekkoek, R., van Dijk, D.: A comparison of biased simulation schemes for stochastic volatility models. Quant. Financ. 10(2), 177\u2013194 (2010). https:\/\/doi.org\/10.1080\/14697680802392496","journal-title":"Quant. Financ."},{"key":"38_CR12","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-662-12616-5","volume-title":"Numerical Solution of Stochastic Differential Equations","author":"PE Kloeden","year":"1992","unstructured":"Kloeden, P.E., Platen, E.: Numerical Solution of Stochastic Differential Equations. Springer, Heidelberg (1992). https:\/\/doi.org\/10.1007\/978-3-662-12616-5. ISBN 3-540-54062-8"}],"container-title":["Lecture Notes in Computer Science","Computational Science \u2013 ICCS 2020"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/978-3-030-50436-6_38","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,6,18]],"date-time":"2024-06-18T23:05:57Z","timestamp":1718751957000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/978-3-030-50436-6_38"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2020]]},"ISBN":["9783030504359","9783030504366"],"references-count":12,"URL":"https:\/\/doi.org\/10.1007\/978-3-030-50436-6_38","relation":{},"ISSN":["0302-9743","1611-3349"],"issn-type":[{"type":"print","value":"0302-9743"},{"type":"electronic","value":"1611-3349"}],"subject":[],"published":{"date-parts":[[2020]]},"assertion":[{"value":"15 June 2020","order":1,"name":"first_online","label":"First Online","group":{"name":"ChapterHistory","label":"Chapter History"}},{"value":"ICCS","order":1,"name":"conference_acronym","label":"Conference Acronym","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"International Conference on Computational Science","order":2,"name":"conference_name","label":"Conference Name","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"Amsterdam","order":3,"name":"conference_city","label":"Conference City","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"The Netherlands","order":4,"name":"conference_country","label":"Conference Country","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"2020","order":5,"name":"conference_year","label":"Conference Year","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"3 June 2020","order":7,"name":"conference_start_date","label":"Conference Start Date","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"5 June 2020","order":8,"name":"conference_end_date","label":"Conference End Date","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"20","order":9,"name":"conference_number","label":"Conference Number","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"iccs-computsci2020","order":10,"name":"conference_id","label":"Conference ID","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"https:\/\/www.iccs-meeting.org\/iccs2020\/","order":11,"name":"conference_url","label":"Conference URL","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"Single-blind","order":1,"name":"type","label":"Type","group":{"name":"ConfEventPeerReviewInformation","label":"Peer Review Information (provided by the conference organizers)"}},{"value":"EasyChair","order":2,"name":"conference_management_system","label":"Conference Management System","group":{"name":"ConfEventPeerReviewInformation","label":"Peer Review Information (provided by the conference organizers)"}},{"value":"230","order":3,"name":"number_of_submissions_sent_for_review","label":"Number of Submissions Sent for Review","group":{"name":"ConfEventPeerReviewInformation","label":"Peer Review Information (provided by the conference organizers)"}},{"value":"98","order":4,"name":"number_of_full_papers_accepted","label":"Number of Full Papers Accepted","group":{"name":"ConfEventPeerReviewInformation","label":"Peer Review Information (provided by the conference organizers)"}},{"value":"3","order":5,"name":"number_of_short_papers_accepted","label":"Number of Short Papers Accepted","group":{"name":"ConfEventPeerReviewInformation","label":"Peer Review Information (provided by the conference organizers)"}},{"value":"43% - The value is computed by the equation \"Number of Full Papers Accepted \/ Number of Submissions Sent for Review * 100\" and then rounded to a whole number.","order":6,"name":"acceptance_rate_of_full_papers","label":"Acceptance Rate of Full Papers","group":{"name":"ConfEventPeerReviewInformation","label":"Peer Review Information (provided by the conference organizers)"}},{"value":"2.5","order":7,"name":"average_number_of_reviews_per_paper","label":"Average Number of Reviews per Paper","group":{"name":"ConfEventPeerReviewInformation","label":"Peer Review Information (provided by the conference organizers)"}},{"value":"4","order":8,"name":"average_number_of_papers_per_reviewer","label":"Average Number of Papers per Reviewer","group":{"name":"ConfEventPeerReviewInformation","label":"Peer Review Information (provided by the conference organizers)"}},{"value":"Yes","order":9,"name":"external_reviewers_involved","label":"External Reviewers Involved","group":{"name":"ConfEventPeerReviewInformation","label":"Peer Review Information (provided by the conference organizers)"}},{"value":"248 workshop papers were selected from 489 submissions to the thematic tracks. The conference was canceled due to the COVID-19 pandemic.","order":10,"name":"additional_info_on_review_process","label":"Additional Info on Review Process","group":{"name":"ConfEventPeerReviewInformation","label":"Peer Review Information (provided by the conference organizers)"}},{"value":"This content has been made available to all.","name":"free","label":"Free to read"}]}}