414 search results - page 2 / 83 » On the Use of Quasi-Monte Carlo Methods in Computational Fin... |
LSSC
2001
Springer
13 years 9 months ago
2001
Springer
Abstract. Quasi-Monte Carlo methods are based on the idea that random Monte Carlo techniques can often be improved by replacing the underlying source of random numbers with a more ...
WSC
2000
13 years 6 months ago
2000
What actuaries call cash flow testing is a large-scale simulation pitting a company's current policy obligation against future earnings based on interest rates. While life co...
MOC
2002
13 years 4 months ago
2002
Dimensionally unbounded problems are frequently encountered in practice, such as in simulations of stochastic processes, in particle and light transport problems and in the problem...
IOR
2008
13 years 4 months ago
2008
We introduce and study a randomized quasi-Monte Carlo method for estimating the state distribution at each step of a Markov chain. The number of steps in the chain can be random an...
ICCS
2001
Springer
13 years 9 months ago
2001
Springer
Abstract Parallel algorithms for the approximation of a multi-dimensional integral over an hyper-rectangular region are discussed. Algorithms based on quasi-Monte Carlo techniques ...