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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(17)- The discrepancy and gain coefficients of scrambled digital nets.
- An Efficient Approximation of Concept Stability Using Low-Discrepancy Sampling
- My dream quadrature rule
- Some current issues in quasi-Monte Carlo methods
- \(I\)-binomial scrambling of digital nets and sequences
- Extended studies of separability functions and probabilities and the relevance of Dyson indices
- Pair correlations of Halton and Niederreiter sequences are not Poissonian
- Selection criteria for (random) generation of digital \((0,s)\)-sequences
- Numerical maximum log likelihood estimation for generalized lambda distributions
- Error trends in quasi-Monte Carlo integration
- On the existence and distribution quality of hyperplane sequences
- A Finite-Row Scrambling of Niederreiter Sequences
- New modified scrambled Faure sequences
- Computational Science – ICCS 2005
- Quasi-Monte Carlo methods with applications in finance
- Constructions of \((t,m,s)\)-nets and \((t,s)\)-sequences
- The Mean Square Discrepancy of Scrambled (t,s)-Sequences
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