28 search results - page 2 / 6 » Quasi-Monte Carlo Methods in Finance |
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 ...
SIAMSC
2010
12 years 11 months ago
2010
Infinitely divisible random vector without Gaussian component admits representations of shot noise series. Due to possible slow convergence of the series, they have not been inves...
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...
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...
WSC
1998
13 years 6 months ago
1998
In this paper we compare the average performance of one class of low-discrepancy quasi-Monte Carlo sequences for global optimization. Weiner measure is assumed as the probability ...