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WSC
1998
14 years 11 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 ...
WSC
2008
14 years 12 months ago
2008
We investigate the use of Antithetic Variables, Control Variates and Importance Sampling to reduce the statistical errors of option sensitivities calculated with the Likelihood Ra...
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WSC
2007
14 years 12 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...
ACG
2003
Springer
15 years 2 months ago
2003
Springer
We describe two Go programs, ¢¡¤£¦¥ and ¢¡¤§¨£ , developed by a Monte-Carlo approach that is simpler than Bruegmann’s (1993) approach. Our method is based on Abra...
GLOBECOM
2009
IEEE
15 years 4 months ago
2009
IEEE
—The Multicanonical Monte Carlo (MMC) technique is a new form of adaptive importance sampling (IS). Thanks to its blind adaptation algorithm, it does not require an in-depth syst...