57 search results - page 1 / 12 » Monte Carlo simulation in financial engineering |
WSC
2007
13 years 7 months ago
2007
This paper reviews the use of Monte Carlo simulation in the field of financial engineering. It focuses on several interesting topics and introduces their recent development, inc...
CEC
2005
IEEE
13 years 10 months ago
2005
IEEE
In recent years the complexity of numerical computations in computational financial applications has been increased enormously. Monte Carlo algorithm is one of main tools in comput...
WSC
2004
13 years 6 months ago
2004
We consider the problem of estimating the small probability that a function of a finite number of random variables exceeds a large threshold. Each input random variable may be lig...
ENGL
2008
13 years 4 months ago
2008
High performance computing is becoming increasingly important in the field of financial computing, as the complexity of financial models continues to increase. Many of these financ...
ASAP
2007
IEEE
13 years 8 months ago
2007
IEEE
Monte-Carlo simulations are used in many applications, such as option pricing and portfolio evaluation. Due to their high computational load and intrinsic parallelism, they are id...