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

DOI10.1287/opre.1100.0853zbMath1217.91202OpenAlexW2113753459MaRDI QIDQ3013920

Xiaoqun Wang, Ian H. Sloan

Publication date: 19 July 2011

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/63a66443f56f4c7bde78257fe20a737aa26fd1cf

zbMATH Keywords

simulationprincipal component analysisasset pricingdimension reductionBrownian bridgefinancequasi-Monte Carlo methodsfinancial engineering

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (26)

Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs? ⋮ Quasi-Monte Carlo for discontinuous integrands with singularities along the boundary of the unit cube ⋮ Sensitivity analysis: a review of recent advances ⋮ On the effective dimension and multilevel Monte Carlo ⋮ ANOVA Decomposition of Convex Piecewise Linear Functions ⋮ Scrambled geometric net integration over general product spaces ⋮ A Global Adaptive Quasi-Monte Carlo Algorithm for Functions of Low Truncation Dimension Applied to Problems from Finance ⋮ How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance? ⋮ Fast orthogonal transforms and generation of Brownian paths ⋮ Statistical arbitrage: factor investing approach ⋮ Randomized QMC Methods for Mixed-Integer Two-Stage Stochastic Programs with Application to Electricity Optimization ⋮ Quasi-Monte Carlo for an Integrand with a Singularity Along a Diagonal in the Square ⋮ Ian Sloan and Lattice Rules ⋮ Efficient Monte Carlo simulation for integral functionals of Brownian motion ⋮ Control variates and conditional Monte Carlo for basket and Asian options ⋮ On the Error Rate of Conditional Quasi--Monte Carlo for Discontinuous Functions ⋮ Quasi-Monte Carlo methods for two-stage stochastic mixed-integer programs ⋮ High-dimensional integration on \(\mathbb{R}^d\), weighted Hermite spaces, and orthogonal transforms ⋮ Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing ⋮ General multilevel Monte Carlo methods for pricing discretely monitored Asian options ⋮ An iterative algorithm to determine the number of time steps in path generation methods ⋮ Three kinds of discrete approximations of statistical multivariate distributions and their applications ⋮ Screening: from tornado diagrams to effective dimensions ⋮ Spatial low-discrepancy sequences, spherical cone discrepancy, and applications in financial modeling ⋮ Integration in Hermite spaces of analytic functions ⋮ Quasi-Monte Carlo methods for linear two-stage stochastic programming problems

This page was built for publication: Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction