19 search results - page 1 / 4 » Parallel Monte Carlo Methods for Derivative Security Pricing |
NAA
2000
Springer
13 years 8 months ago
2000
Springer
Abstract. Monte Carlo (MC) methods have proved to be flexible, robust and very useful techniques in computational finance. Several studies have investigated ways to achieve greater...
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...
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...
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...
WSC
2007
13 years 6 months ago
2007
Portfolio credit derivatives that depend on default correlation are increasingly widespread in the credit market. Valuing such products often entails Monte Carlo simulation. Howev...