A Global Adaptive Quasi-Monte Carlo Algorithm for Functions of Low Truncation Dimension Applied to Problems from Finance (Q5326133): Difference between revisions

Latest revision as of 17:28, 6 July 2024

scientific article; zbMATH DE number 6193387

Language	Label	Description	Also known as
English	A Global Adaptive Quasi-Monte Carlo Algorithm for Functions of Low Truncation Dimension Applied to Problems from Finance	scientific article; zbMATH DE number 6193387

Statements

instance of

scholarly article

0 references

title

A Global Adaptive Quasi-Monte Carlo Algorithm for Functions of Low Truncation Dimension Applied to Problems from Finance (English)

0 references

zbMATH Open document ID

1270.91103

0 references

DOI

10.1007/978-3-642-27440-4_34

0 references

author

Dirk Nuyens

0 references

Benjamin J. Waterhouse

0 references

published in

Springer Proceedings in Mathematics & Statistics

0 references

publication date

31 July 2013

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

performance

0 references

quasi-Monte Carlo method

0 references

low effective dimension

0 references

point set re-ordering

0 references

option pricing

0 references

describes a project that uses

CUBPACK

0 references

MinT

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1007/978-3-642-27440-4_34

0 references

OpenAlex ID

W2233328846

0 references

cites work

The Pricing of Options and Corporate Liabilities

0 references

Algorithm 824

0 references

Constructing Embedded Lattice Rules for Multivariate Integration

0 references

Q3160669

0 references

Discrépance de suites associées à un système de numération (en dimension s)

0 references

Quasi-Monte Carlo for finance applications

0 references

Q4433608

0 references

Enumerating Quasi-Monte Carlo Point Sequences in Elementary Intervals

0 references

An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process

0 references

Q5482368

0 references

A new algorithm for adaptive multidimensional integration

0 references

Q4905685

0 references

Q4003879

0 references

Q4453518

0 references

The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration

0 references

Q4453523

0 references

MinT: A Database for Optimal Net Parameters

0 references

When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?

0 references

An adaptive algorithm for numerical integration over an \(n\)-dimensional cube

0 references

Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?

0 references

Efficient Weighted Lattice Rules with Applications to Finance

0 references

Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5326133

@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Algorithm 824
@@ Property / cites work: Algorithm 824 / rank @@
+Normal rank
@@ Property / cites work @@
+Constructing Embedded Lattice Rules for Multivariate Integration
+Normal rank
@@ Property / cites work @@
+Q3160669
@@ Property / cites work: Q3160669 / rank @@
+Normal rank
@@ Property / cites work @@
+Discrépance de suites associées à un système de numération (en dimension s)
+Normal rank
@@ Property / cites work @@
+Quasi-Monte Carlo for finance applications
@@ Property / cites work: Quasi-Monte Carlo for finance applications / rank @@
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+Enumerating Quasi-Monte Carlo Point Sequences in Elementary Intervals
+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 @@
+Q5482368
@@ Property / cites work: Q5482368 / rank @@
+Normal rank
@@ Property / cites work @@
+A new algorithm for adaptive multidimensional integration
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4003879
@@ Property / cites work: Q4003879 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4453518
@@ Property / cites work: Q4453518 / 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 @@
+Q4453523
@@ Property / cites work: Q4453523 / rank @@
+Normal rank
@@ Property / cites work @@
+MinT: A Database for Optimal Net Parameters
@@ Property / cites work: MinT: A Database for Optimal Net Parameters / rank @@
+Normal rank
@@ Property / cites work @@
+When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
+Normal rank
@@ Property / cites work @@
+An adaptive algorithm for numerical integration over an \(n\)-dimensional cube
+Normal rank
@@ Property / cites work @@
+Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?
+Normal rank
@@ Property / cites work @@
+Efficient Weighted Lattice Rules with Applications to Finance
+Normal rank
@@ Property / cites work @@
+Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction
+Normal rank