Monte carlo and quasi-monte carlo methods
RE Caflisch - Acta numerica, 1998 - cambridge.org
Monte Carlo is one of the most versatile and widely used numerical methods. Its
convergence rate, O (N− 1/2), is independent of dimension, which shows Monte Carlo to be …
convergence rate, O (N− 1/2), is independent of dimension, which shows Monte Carlo to be …
[LLIBRE][B] Dynamic asset pricing theory
D Duffie - 2010 - books.google.com
This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …
doctoral students and researchers on the theory of asset pricing and portfolio selection in …
Monte Carlo methods for security pricing
P Boyle, M Broadie, P Glasserman - Journal of economic dynamics and …, 1997 - Elsevier
The Monte Carlo approach has proved to be a valuable and flexible computational tool in
modern finance. This paper discusses some of the recent applications of the Monte Carlo …
modern finance. This paper discusses some of the recent applications of the Monte Carlo …
[LLIBRE][B] Beyond value at risk: The new science of risk management.
K Dowd - 1998 - durham-repository.worktribe.com
Beyond Value at Risk: The New Science of Risk Management. Skip to main content Durham
Research Online (DRO) Home Research Outputs People Faculties and Departments …
Research Online (DRO) Home Research Outputs People Faculties and Departments …
When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
IH Sloan, H Woźniakowski - Journal of Complexity, 1998 - Elsevier
Recently, quasi-Monte Carlo algorithms have been successfully used for multivariate
integration of high dimensiond, and were significantly more efficient than Monte Carlo …
integration of high dimensiond, and were significantly more efficient than Monte Carlo …
[LLIBRE][B] Lecture notes in computational science and engineering
TJ Barth, M Griebel, DE Keyes, RM Nieminen, D Roose… - 2005 - Springer
The FEniCS Project set out in 2003 with an idea to automate the solution of mathematical
models based on differential equations. Initially, the FEniCS Project consisted of two …
models based on differential equations. Initially, the FEniCS Project consisted of two …
Valuation of mortgage-backed securities using Brownian bridges to reduce effective dimension
ABSTRACT The quasi-Monte Carlo method for financial valuation and other integration
problems has error bounds of size O ((log N) k N-1), or even O ((log N) k N-3/2), which …
problems has error bounds of size O ((log N) k N-1), or even O ((log N) k N-3/2), which …
Importance sampling: Intrinsic dimension and computational cost
The basic idea of importance sampling is to use independent samples from a proposal
measure in order to approximate expectations with respect to a target measure. It is key to …
measure in order to approximate expectations with respect to a target measure. It is key to …
Why quasi-Monte Carlo is better than Monte Carlo or Latin hypercube sampling for statistical circuit analysis
At the nanoscale, no circuit parameters are truly deterministic; most quantities of practical
interest present themselves as probability distributions. Thus, Monte Carlo techniques …
interest present themselves as probability distributions. Thus, Monte Carlo techniques …
Randomized halton sequences
X Wang, FJ Hickernell - Mathematical and Computer Modelling, 2000 - Elsevier
The Halton sequence is a well-known multi-dimensional low-discrepancy sequence. In this
paper, we propose a new method for randomizing the Halton sequence. This randomization …
paper, we propose a new method for randomizing the Halton sequence. This randomization …