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