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scientific article; zbMATH DE number 2020182
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scientific article; zbMATH DE number 2020182

    Statements

    author
    Jürgen Hartinger
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    Robert F. Tichy
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    Hansjoerg Albrecher
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    publication date
    1 March 2004
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    Mathematics Subject Classification ID
    65C05
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    11K45
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    11K38
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    91B24
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    91B30
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    zbMATH DE Number
    2020182
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    zbMATH Keywords
    numerical examples
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    Holton sequence
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    Sobol sequence
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    quasi Monte Carlo integration
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    high-dimensional integrals
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    pricing of default-risky catastrophe-linked bonds
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    stochastic interest rates
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    basis risk
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    default risk
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    low-discrepancy sequences
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    Faure sequences
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