scientific article; zbMATH DE number 2051230

MaRDI QIDQ4453523zbMATH OpenFDO

Authors Rudolf Schürer

Publication date 7 March 2004

zbMATH Keywords

numerical examplesAdaptive algorithmsMISERVEGAS

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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Cited in

(8)

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• Robust adaptive numerical integration of irregular functions with applications to basket and other multi-dimensional exotic options
• A global adaptive quasi-Monte Carlo algorithm for functions of low truncation dimension applied to problems from finance
• Tensor-train numerical integration of multivariate functions with singularities
• Vegas revisited: Adaptive Monte Carlo integration beyond factorization
• A comparison between (quasi-)Monte Carlo and cubature rule based methods for solving high-dimensional integration problems
• Adaptive Quasi-Monte Carlo Methods for Cubature

Describes a project that uses

Uses Software

• TESTPACK

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