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ICCS
2001
Springer

On the Use of Quasi-Monte Carlo Methods in Computational Finance

9 years 6 months ago
On the Use of Quasi-Monte Carlo Methods in Computational Finance
We give the background and required tools for applying quasi-Monte Carlo methods efficiently to problems in computational finance, and survey recent developments in this field. We describe methods for pricing european path-dependent options, and also discuss problems involving the estimation of gradients and the simulation of stochastic volatility models.
Christiane Lemieux, Pierre L'Ecuyer
Added 29 Jul 2010
Updated 29 Jul 2010
Type Conference
Year 2001
Where ICCS
Authors Christiane Lemieux, Pierre L'Ecuyer
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