scientific article; zbMATH DE number 2051221
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Publication:4453513
zbMATH Open1043.65003MaRDI QIDQ4453513FDOQ4453513
Publication date: 7 March 2004
Title of this publication is not available (Why is that?)
dimension reductionprincipal component analysisquasi-Monte Carlo methodsBrownian bridgederivative pricinglinear transformationcomputational finance
Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Microeconomic theory (price theory and economic markets) (91B24)
Cited In (16)
- Valuing convertible bonds based on LSRQM method
- Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
- Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions
- Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options
- ANOVA Decomposition of Convex Piecewise Linear Functions
- Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?
- Preintegration via Active Subspace
- Linear dimension reduction approximately preserving a function of the $1$-norm
- Title not available (Why is that?)
- New Brownian bridge construction in quasi-Monte Carlo methods for computational finance
- The ANOVA decomposition of a non-smooth function of infinitely many variables can have every term smooth
- Quasi-Monte Carlo-based conditional pathwise method for option Greeks
- Quasi-Monte Carlo methods with applications in finance
- Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance
- Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
- Implementing quasi-Monte Carlo simulations with linear transformations
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