414 search results - page 1 / 83 » On the Use of Quasi-Monte Carlo Methods in Computational Fin... |
ISQED
2007
IEEE
13 years 11 months ago
2007
IEEE
Problems in computational finance share many of the characteristics that challenge us in statistical circuit analysis: high dimensionality, profound nonlinearity, stringent accura...
ICCS
2001
Springer
13 years 9 months ago
2001
Springer
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...
FPL
2008
Springer
13 years 6 months ago
2008
Springer
Today, quasi-Monte Carlo (QMC) methods are widely used in finance to price derivative securities. The QMC approach is popular because for many types of derivatives it yields an es...
WSC
2004
13 years 6 months ago
2004
We review the basic principles of Quasi-Monte Carlo (QMC) methods, the randomizations that turn them into variancereduction techniques, and the main classes of constructions under...
CAD
2006
Springer
13 years 4 months ago
2006
Springer
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...