scientific article; zbMATH DE number 1790437
zbMATH Open1008.11029MaRDI QIDQ4549503FDOQ4549503
Authors: Henri Faure, Shu Tezuka 
Publication date: 9 April 2003
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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)
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
- An Efficient Approximation of Concept Stability Using Low-Discrepancy Sampling
- \(I\)-binomial scrambling of digital nets and sequences
- Some current issues in quasi-Monte Carlo methods
- The Mean Square Discrepancy of Scrambled (t,s)-Sequences
- Error trends in quasi-Monte Carlo integration
- Pair correlations of Halton and Niederreiter sequences are not Poissonian
- Numerical maximum log likelihood estimation for generalized lambda distributions
- A Finite-Row Scrambling of Niederreiter Sequences
- Selection criteria for (random) generation of digital \((0,s)\)-sequences
- My dream quadrature rule
- 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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