Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing (Q5740211): Difference between revisions

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+Conditional Sampling for Barrier Option Pricing under the LT Method
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+Q4369767
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+Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts
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+Monte Carlo integration with quasi-random numbers: Experience with discontinuous integrands
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+Estimating Security Price Derivatives Using Simulation
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+High-dimensional integration: The quasi-Monte Carlo way
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+Q4433608
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+Good Path Generation Methods in Quasi-Monte Carlo for Pricing Financial Derivatives
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+On the Convergence Rate of Randomized Quasi--Monte Carlo for Discontinuous Functions
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+Pricing Derivative Securities Using Integrated Quasi--Monte Carlo Methods with Dimension Reduction and Discontinuity Realignment
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+Estimating Mean Dimensionality of Analysis of Variance Decompositions
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+Quasi-Random Sequences and Their Discrepancies
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+Quasi-Monte Carlo integration
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+Smoothness and dimension reduction in quasi-Monte Carlo methods
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+The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
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+When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
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+Improving the rejection sampling method in quasi-Monte Carlo methods
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+On the Effects of Dimension Reduction Techniques on Some High-Dimensional Problems in Finance
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+Constructing Robust Good Lattice Rules for Computational Finance
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+The effective dimension and quasi-Monte Carlo integration
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+Low discrepancy sequences in high dimensions: how well are their projections distributed?
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+Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction
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+How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?
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