Publication:4440831
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zbMath1037.65001MaRDI QIDQ4440831
Robert F. Tichy, Hansjoerg Albrecher, Jürgen Hartinger
Publication date: 1 March 2004
numerical examples; low-discrepancy sequences; default risk; basis risk; stochastic interest rates; Sobol sequence; high-dimensional integrals; Faure sequences; quasi Monte Carlo integration; Holton sequence; pricing of default-risky catastrophe-linked bonds
65C05: Monte Carlo methods
91B24: Microeconomic theory (price theory and economic markets)
11K38: Irregularities of distribution, discrepancy
11K45: Pseudo-random numbers; Monte Carlo methods