scientific article; zbMATH DE number 2051221

zbMATH Open1043.65003MaRDI QIDQ4453513FDOQ4453513

Ken Seng Tan, Junichi Imai

Publication date: 7 March 2004

Title of this publication is not available (Why is that?)

zbMATH Keywords

dimension reductionprincipal component analysisquasi-Monte Carlo methodsBrownian bridgederivative pricinglinear transformationcomputational finance

Mathematics Subject Classification ID

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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