| Publication | Date of Publication | Type |
|---|
| Number sequences for simulation | 2025-01-17 | Paper |
A goodness-of-fit test for copulas based on the collision test
Statistical Papers | 2022-11-04 | Paper |
Monte Carlo and quasi-Monte Carlo methods for Dempster's rule of combination
International Journal of Approximate Reasoning | 2022-06-03 | Paper |
Brownian path generation and polynomial chaos
SIAM Journal on Financial Mathematics | 2021-09-08 | Paper |
Polynomial chaos as a control variate method
SIAM Journal on Scientific Computing | 2021-06-29 | Paper |
Implementing de-biased estimators using mixed sequences
Monte Carlo Methods and Applications | 2021-05-20 | Paper |
Probability and simulation
Springer Undergraduate Texts in Mathematics and Technology | 2020-10-15 | Paper |
Randomized Global Sensitivity Analysis and Model Robustness
Springer Proceedings in Mathematics & Statistics | 2020-08-26 | Paper |
| Randomized Sobol' sensitivity indices | 2019-02-18 | Paper |
High-performance financial simulation using randomized quasi-Monte Carlo methods
Quantitative Finance | 2019-02-06 | Paper |
Learning shape metrics with Monte Carlo optimization
Journal of Computational and Applied Mathematics | 2019-01-04 | Paper |
CAM stochastic volatility model for option pricing
Mathematical Problems in Engineering | 2018-10-12 | Paper |
A quasi-Monte Carlo implementation of the ziggurat method
Monte Carlo Methods and Applications | 2018-06-08 | Paper |
The acceptance-rejection method for low-discrepancy sequences
Monte Carlo Methods and Applications | 2016-06-09 | Paper |
Uniform point sets and the collision test
Journal of Computational and Applied Mathematics | 2015-06-17 | Paper |
Efficient simulation of a multi-factor stochastic volatility model
Journal of Computational and Applied Mathematics | 2015-06-17 | Paper |
Optimization of a Monte Carlo variance reduction method based on sensitivity derivatives
Applied Numerical Mathematics | 2014-10-31 | Paper |
Random and deterministic digit permutations of the Halton sequence
Springer Proceedings in Mathematics & Statistics | 2013-07-31 | Paper |
Primes and probability: the Hawkins random sieve
Mathematics Magazine | 2011-12-07 | Paper |
Generating low-discrepancy sequences from the normal distribution: Box-Muller or inverse transform?
Mathematical and Computer Modelling | 2011-07-21 | Paper |
Parameterization based on randomized quasi-Monte Carlo methods
Parallel Computing | 2010-09-02 | Paper |
Correction of a proof in “A probabilistic result on the discrepancy of a hybrid-Monte Carlo sequence and applications”
Monte Carlo Methods and Applications | 2009-10-07 | Paper |
Generalized von Neumann-Kakutani transformation and random-start scrambled Halton sequences
Journal of Complexity | 2009-08-06 | Paper |
Randomized quasi-Monte Carlo methods in pricing securities
Journal of Economic Dynamics and Control | 2008-11-06 | Paper |
On pricing discrete barrier options using conditional expectation and importance sampling Monte Carlo
Mathematical and Computer Modelling | 2008-02-26 | Paper |
Computation of the endogenous mortgage rates with randomized quasi-Monte Carlo simulations
Mathematical and Computer Modelling | 2008-02-22 | Paper |
A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance
Journal of Complexity | 2006-10-05 | Paper |
Solving Linear Equations by Monte Carlo Simulation
SIAM Journal on Scientific Computing | 2006-05-30 | Paper |
Random sampling from low-discrepancy sequences: applications to option pricing
Mathematical and Computer Modelling | 2004-08-20 | Paper |
| scientific article; zbMATH DE number 1790449 (Why is no real title available?) | 2002-12-08 | Paper |
Error reduction techniques in quasi-Monte Carlo integration.
Mathematical and Computer Modelling | 2002-05-05 | Paper |
High dimensional simulation
Mathematics and Computers in Simulation | 2001-01-01 | Paper |
| scientific article; zbMATH DE number 1390121 (Why is no real title available?) | 2000-07-26 | Paper |
| scientific article; zbMATH DE number 1103082 (Why is no real title available?) | 1998-01-12 | Paper |
A Probabilistic Result on the Discrepancy of a Hybrid-Monte Carlo Sequence and Applications
Monte Carlo Methods and Applications | 1997-07-13 | Paper |
