Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction

DOI10.1287/opre.1100.0853zbMath1217.91202OpenAlexW2113753459MaRDI QIDQ3013920

Publication date: 19 July 2011

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/63a66443f56f4c7bde78257fe20a737aa26fd1cf

zbMATH Keywords

simulation principal component analysis asset pricing dimension reduction Brownian bridge finance quasi-Monte Carlo methods financial engineering

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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