scientific article; zbMATH DE number 2020182
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Publication:4440831
zbMath1037.65001MaRDI QIDQ4440831
Robert F. Tichy, Jürgen Hartinger, Hansjoerg Albrecher
Publication date: 1 March 2004
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
numerical exampleslow-discrepancy sequencesdefault riskbasis riskstochastic interest ratesSobol sequencehigh-dimensional integralsFaure sequencesquasi Monte Carlo integrationHolton sequencepricing of default-risky catastrophe-linked bonds
Monte Carlo methods (65C05) Microeconomic theory (price theory and economic markets) (91B24) Irregularities of distribution, discrepancy (11K38) Pseudo-random numbers; Monte Carlo methods (11K45)