414 search results - page 3 / 83 » On the Use of Quasi-Monte Carlo Methods in Computational Fin... |
LSSC
2001
Springer
13 years 9 months ago
2001
Springer
In this paper we analyze a quasi-Monte Carlo method for solving systems of linear algebraic equations. It is well known that the convergence of Monte Carlo methods for numerical in...
CORR
2000
Springer
13 years 5 months ago
2000
Springer
In a recent paper Keister proposed two quadrature rules as alternatives to Monte Carlo for certain multidimensional integrals and reported his test results. In earlier work we had...
JC
2006
13 years 5 months ago
2006
We study the problem of multivariate integration over Rd with integrands of the form f(x)d(x) where d is a probability density function. Practical problems of this form occur comm...
JC
2006
13 years 5 months ago
2006
We study the problem of multivariate integration on the unit cube for unbounded integrands. Our study is motivated by problems in statistics and mathematical finance, where unboun...
NAA
2000
Springer
13 years 9 months ago
2000
Springer
Abstract. The convergence of Monte Carlo method for numerical integration can often be improved by replacing pseudorandom numbers (PRNs) with more uniformly distributed numbers kno...