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. W...
A novel and efficient quasi-Monte Carlo method for computing the area of a point-sampled surface with associated surface normal for each point is presented. Our method operates di...
Problems in computational finance share many of the characteristics that challenge us in statistical circuit analysis: high dimensionality, profound nonlinearity, stringent accura...
In this paper we deal with performance analysis of Monte Carlo algorithm for large linear algebra problems. We consider applicability and efficiency of the Markov chain Monte Carlo...
Ivan Dimov, Vassil N. Alexandrov, Rumyana Papanche...