scientific article; zbMATH DE number 1790437
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Publication:4549503
financediscrepancymortgage-backed securitiesscramblingdigital \((t,s)\)-sequenceslognormally distributed assets
Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Irregularities of distribution, discrepancy (11K38) Pseudo-random numbers; Monte Carlo methods (11K45)
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Cited in
(17)- New modified scrambled Faure sequences
- Computational Science – ICCS 2005
- Constructions of \((t,m,s)\)-nets and \((t,s)\)-sequences
- On the existence and distribution quality of hyperplane sequences
- \(I\)-binomial scrambling of digital nets and sequences
- An Efficient Approximation of Concept Stability Using Low-Discrepancy Sampling
- Some current issues in quasi-Monte Carlo methods
- Error trends in quasi-Monte Carlo integration
- The Mean Square Discrepancy of Scrambled (t,s)-Sequences
- Numerical maximum log likelihood estimation for generalized lambda distributions
- Pair correlations of Halton and Niederreiter sequences are not Poissonian
- A Finite-Row Scrambling of Niederreiter Sequences
- My dream quadrature rule
- Selection criteria for (random) generation of digital \((0,s)\)-sequences
- The discrepancy and gain coefficients of scrambled digital nets.
- Quasi-Monte Carlo methods with applications in finance
- Extended studies of separability functions and probabilities and the relevance of Dyson indices
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