Quantile mechanics II: changes of variables in Monte Carlo methods and GPU-optimised normal quantiles
From MaRDI portal
Publication:2878024
DOI10.1017/S0956792513000417zbMath1298.91190arXiv0901.0638OpenAlexW3124920278MaRDI QIDQ2878024
William T. Shaw, Nick Brickman, Thomas Luu
Publication date: 28 August 2014
Published in: European Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0901.0638
Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Exact distribution theory in statistics (62E15) General considerations in statistical decision theory (62C05)
Related Items
Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models, Efficient and Accurate Parallel Inversion of the Gamma Distribution
Uses Software
Cites Work