28 search results - page 1 / 6 » Quasi-Monte Carlo Methods in Finance |
ISQED
2007
IEEE
13 years 10 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...
WSC
2004
13 years 5 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...
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...
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...