The following pages link to (Q4369767):
Displayed 48 items.
- An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures (Q323335) (← links)
- How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance? (Q413476) (← links)
- Fast orthogonal transforms and generation of Brownian paths (Q413477) (← links)
- Dimension-wise integration of high-dimensional functions with applications to finance (Q708311) (← links)
- Randomly shifted lattice rules for unbounded integrands (Q855892) (← links)
- On initial populations of a genetic algorithm for continuous optimization problems (Q878224) (← links)
- Randomized quasi-Monte Carlo methods in pricing securities (Q953725) (← links)
- Local antithetic sampling with scrambled nets (Q955143) (← links)
- Intermediate rank lattice rules and applications to finance (Q960285) (← links)
- Quasi-Monte Carlo methods with applications in finance (Q964676) (← links)
- Towards hybrid system modeling of uncertain complex dynamical systems (Q1003524) (← links)
- Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options (Q1022420) (← links)
- Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance (Q1023106) (← links)
- The price of pessimism for multidimensional quadrature (Q1347848) (← links)
- Monte Carlo methods for security pricing (Q1391435) (← links)
- Sufficient conditions for fast quasi-Monte Carlo convergence (Q1401997) (← links)
- The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration (Q1599199) (← links)
- Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions (Q1643844) (← links)
- The effective dimension and quasi-Monte Carlo integration (Q1869960) (← links)
- Pricing and hedging Asian basket options with quasi-Monte Carlo simulations (Q1945610) (← links)
- Optimal randomized changing dimension algorithms for infinite-dimensional integration on function spaces with ANOVA-type decomposition (Q2016136) (← links)
- Quasi-Monte Carlo simulation for American option sensitivities (Q2146323) (← links)
- Fast CBC construction of randomly shifted lattice rules achieving \(\mathcal{O}(n^{- 1 + \delta})\) convergence for unbounded integrands over \(\mathbb{R}^s\) in weighted spaces with POD weights (Q2251914) (← links)
- High-dimensional integration on \(\mathbb{R}^d\), weighted Hermite spaces, and orthogonal transforms (Q2254682) (← links)
- Valuing convertible bonds based on LSRQM method (Q2320730) (← links)
- Integration in Hermite spaces of analytic functions (Q2347959) (← links)
- On the use of dimension reduction techniques in quasi-Monte Carlo methods (Q2389861) (← links)
- Comparison of Sobol' sequences in financial applications (Q2417977) (← links)
- Efficient Monte Carlo simulation for integral functionals of Brownian motion (Q2442860) (← links)
- Exact sampling with highly uniform point sets (Q2473094) (← links)
- Low discrepancy sequences in high dimensions: how well are their projections distributed? (Q2479345) (← links)
- A stochastic programming model for asset liability management of a Finnish pension company (Q2480243) (← links)
- New Brownian bridge construction in quasi-Monte Carlo methods for computational finance (Q2483201) (← links)
- Randomly shifted lattice rules on the unit cube for unbounded integrands in high dimensions (Q2489151) (← links)
- Good lattice rules in weighted Korobov spaces with general weights (Q2491143) (← links)
- Computation of optimal portfolios using simulation-based dimension reduction (Q2518536) (← links)
- The ANOVA decomposition of a non-smooth function of infinitely many variables can have every term smooth (Q2970103) (← links)
- Effective Dimension of Some Weighted Pre-Sobolev Spaces with Dominating Mixed Partial Derivatives (Q4629327) (← links)
- Brownian Path Generation and Polynomial Chaos (Q4958391) (← links)
- Equivalence between Sobolev spaces of first-order dominating mixed smoothness and unanchored ANOVA spaces on ℝ^{𝕕} (Q5082038) (← links)
- Short Communication: Projection of Functionals and Fast Pricing of Exotic Options (Q5092723) (← links)
- Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model (Q5139245) (← links)
- Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options (Q5139263) (← links)
- BARRIER OPTIONS PRICING WITH JOINT DISTRIBUTION OF GAUSSIAN PROCESS AND ITS MAXIMUM (Q5367498) (← links)
- Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction (Q5738153) (← links)
- Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing (Q5740211) (← links)
- Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance (Q5856682) (← links)
- The sparse structure of high-dimensional integrands (Q5946090) (← links)