Latin hypercube sampling with dependence and applications in finance

DOI10.21314/JCF.2010.224zbMath1284.62346OpenAlexW3123193297MaRDI QIDQ5411504

Wolfgang M. Schmidt, Natalie Packham

Publication date: 23 April 2014

Published in: The Journal of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.21314/jcf.2010.224

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical methods; economic indices and measures (91B82) Factorial statistical designs (62K15)

Related Items (8)

Smooth bootstrapping of copula functionals ⋮ Adaptive refined descriptive sampling algorithm for dependent variables using Iman and Conover method in Monte Carlo simulation ⋮ Optimal bounds for integrals with respect to copulas and applications ⋮ Consistency of randomized integration methods ⋮ Copula based hierarchical risk aggregation through sample reordering ⋮ A CENTRAL LIMIT THEOREM FOR LATIN HYPERCUBE SAMPLING WITH DEPENDENCE AND APPLICATION TO EXOTIC BASKET OPTION PRICING ⋮ Variance reduction for sequential sampling in stochastic programming ⋮ Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions

This page was built for publication: Latin hypercube sampling with dependence and applications in finance