How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance? (Q413476): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+C05
@@ Property / Mathematics Subject Classification ID: 65C05 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G70
@@ Property / Mathematics Subject Classification ID: 91G70 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6031131
@@ Property / zbMATH DE Number: 6031131 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+asset pricing
@@ Property / zbMATH Keywords: asset pricing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+quasi-Monte Carlo methods
@@ Property / zbMATH Keywords: quasi-Monte Carlo methods / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+effective dimension
@@ Property / zbMATH Keywords: effective dimension / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+ANOVA decomposition
@@ Property / zbMATH Keywords: ANOVA decomposition / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Brownian bridge
@@ Property / zbMATH Keywords: Brownian bridge / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+principal component analysis
@@ Property / zbMATH Keywords: principal component analysis / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jco.2011.10.011
+Normal rank
@@ Property / OpenAlex ID @@
+W2000687805
@@ Property / OpenAlex ID: W2000687805 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4369767
@@ Property / cites work: Q4369767 / rank @@
+Normal rank
@@ Property / cites work @@
+Path Generation for Quasi-Monte Carlo Simulation of Mortgage-Backed Securities
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process
+Normal rank
@@ Property / cites work @@
+Quasi-Monte Carlo Methods in Numerical Finance
@@ Property / cites work: Quasi-Monte Carlo Methods in Numerical Finance / rank @@
+Normal rank
@@ Property / cites work @@
+On decompositions of multivariate functions
@@ Property / cites work: On decompositions of multivariate functions / rank @@
+Normal rank
@@ Property / cites work @@
+New Brownian bridge construction in quasi-Monte Carlo methods for computational finance
+Normal rank
@@ Property / cites work @@
+Estimating Mean Dimensionality of Analysis of Variance Decompositions
+Normal rank
@@ Property / cites work @@
+Generating Quasi-Random Paths for Stochastic Processes
+Normal rank
@@ Property / cites work @@
+Quasi-Random Sequences and Their Discrepancies
@@ Property / cites work: Quasi-Random Sequences and Their Discrepancies / rank @@
+Normal rank
@@ Property / cites work @@
+Smoothness and dimension reduction in quasi-Monte Carlo methods
+Normal rank
@@ Property / cites work @@
+Q4003879
@@ Property / cites work: Q4003879 / rank @@
+Normal rank
@@ Property / cites work @@
+Toward real-time pricing of complex financial derivatives
+Normal rank
@@ Property / cites work @@
+Q4801738
@@ Property / cites work: Q4801738 / rank @@
+Normal rank
@@ Property / cites work @@
+The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
+Normal rank
@@ Property / cites work @@
+Sufficient conditions for fast quasi-Monte Carlo convergence
+Normal rank
@@ Property / cites work @@
+When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
+Normal rank
@@ Property / cites work @@
+Derivative based global sensitivity measures and their link with global sensitivity indices
+Normal rank
@@ Property / cites work @@
+On the necessity of low-effective dimension
@@ Property / cites work: On the necessity of low-effective dimension / rank @@
+Normal rank
@@ Property / cites work @@
+Strong tractability of multivariate integration using quasi–Monte Carlo algorithms
+Normal rank
@@ Property / cites work @@
+On the Effects of Dimension Reduction Techniques on Some High-Dimensional Problems in Finance
+Normal rank
@@ Property / cites work @@
+The effective dimension and quasi-Monte Carlo integration
+Normal rank
@@ Property / cites work @@
+Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?
+Normal rank
@@ Property / cites work @@
+Low discrepancy sequences in high dimensions: how well are their projections distributed?
+Normal rank
@@ Property / cites work @@
+Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:413476