28 search results - page 3 / 6 » Quasi-Monte Carlo Methods in Finance |
IOR
2008
13 years 5 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...
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...
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 on the unit cube for unbounded integrands. Our study is motivated by problems in statistics and mathematical finance, where unboun...
WSC
2000
13 years 6 months ago
2000
Under certain conditions on the integrand, quasi-Monte Carlo methods for estimating integrals (expectations) converge faster asymptotically than Monte Carlo methods. Motivated by ...