Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?

DOI10.1137/S1064827503429429zbMATH Open1149.65303OpenAlexW2094199988MaRDI QIDQ5693192FDOQ5693192

Authors: Xiaoqun Wang, Ian H. Sloan 

Publication date: 22 September 2005

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s1064827503429429

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zbMATH Keywords

option pricingeffective dimensionbond valuationquasi--Monte Carlo

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Numerical integration (65D30)

Cited In (46)

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• Construction algorithms for polynomial lattice rules for multivariate integration
• Enhancing quasi-Monte Carlo methods by exploiting additive approximation for problems in finance
• Characterization of discontinuities in high-dimensional stochastic problems on adaptive sparse grids
• On the Effects of Dimension Reduction Techniques on Some High-Dimensional Problems in Finance
• A computational investigation of the optimal Halton sequence in QMC applications
• How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?
• Good lattice rules in weighted Korobov spaces with general weights
• Better Approximations of High Dimensional Smooth Functions by Deep Neural Networks with Rectified Power Units
• Liberating the Dimension for Function Approximation and Integration
• A Global Adaptive Quasi-Monte Carlo Algorithm for Functions of Low Truncation Dimension Applied to Problems from Finance
• Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats
• Exact cubature for a class of functions of maximum effective dimension
• ANOVA Decomposition of Convex Piecewise Linear Functions
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• Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?
• Adaptive ANOVA decomposition of stochastic incompressible and compressible flows
• Fast principal components analysis method for finance problems with unequal time steps
• Quasi-Monte Carlo methods for lattice systems: a first look
• Sparse grid quadrature in high dimensions with applications in finance and insurance
• Automatic control variates for option pricing using neural networks
• Estimating Mean Dimensionality of Analysis of Variance Decompositions
• Polynomial-time algorithms for multivariate linear problems with finite-order weights: Average case setting
• Low discrepancy sequences in high dimensions: how well are their projections distributed?
• Dependence properties of scrambled Halton sequences
• A multivariate fast discrete Walsh transform with an application to function interpolation
• Bootstrap confidence sets for spectral projectors of sample covariance
• Symmetry exploits for Bayesian cubature methods
• Efficient exposure computation by risk factor decomposition
• Comparison of Sobol' sequences in financial applications
• Single-index importance sampling with stratification
• Finite-order weights imply tractability of linear multivariate problems
• Multi-element probabilistic collocation method in high dimensions
• Randomly shifted lattice rules for unbounded integrands
• Explaining effective low-dimensionality
• The effective dimension and quasi-Monte Carlo integration
• On the fundamental conjecture of HDMR: a Fourier analysis approach
• Good lattice rules based on the general weighted star discrepancy
• Living on the edge: an unified approach to antithetic sampling
• Quasi-Monte Carlo methods with applications in finance
• Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance
• Quasi-Monte Carlo methods for linear two-stage stochastic programming problems
• Finite-order weights imply tractability of multivariate integration
• Comparison of Point Sets and Sequences for Quasi-Monte Carlo and for Random Number Generation
• Brownian bridge and principal component analysis: towards removing the curse of dimensionality
• Dimension-wise integration of high-dimensional functions with applications to finance

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