Path Generation for Quasi-Monte Carlo Simulation of Mortgage-Backed Securities

DOI10.1287/mnsc.46.9.1171.12239zbMath1232.91699OpenAlexW2025245697MaRDI QIDQ3114646

John P. Lehoczky, Fredrik Åkesson

Publication date: 19 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/a4763f7f3ca82573a6acbc944181496f8aac354e

zbMATH Keywords

Monte Carlo simulationquasi-Monte Carlomortgage backed securities

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance? ⋮ Efficient Monte Carlo simulation for integral functionals of Brownian motion ⋮ New Brownian bridge construction in quasi-Monte Carlo methods for computational finance ⋮ Brownian Path Generation and Polynomial Chaos ⋮ Computation of optimal portfolios using simulation-based dimension reduction ⋮ Calibration of financial models using quasi-Monte Carlo

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