Quasi-Monte Carlo methods with applications in finance
From MaRDI portal
Publication:964676
DOI10.1007/s00780-009-0095-yzbMath1199.65004WikidataQ115201929 ScholiaQ115201929MaRDI QIDQ964676
Publication date: 22 April 2010
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-009-0095-y
numerical examples; discrepancy; variance reduction; finance; quasi-Monte Carlo methods; effective dimension
Related Items
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Constructing Sobol Sequences with Better Two-Dimensional Projections
- Point sets and sequences with small discrepancy
- Tractability of integration in non-periodic and periodic weighted tensor product Hilbert spaces
- On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
- The tent transformation can improve the convergence rate of quasi-Monte Carlo algorithms using digital nets
- When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
- The price of pessimism for multidimensional quadrature
- Scrambled net variance for integrals of smooth functions
- Component-by-component constructions achieve the optimal rate of convergence for multivariate integration in weighted Korobov and Sobolev spaces
- My dream quadrature rule
- Randomized Halton sequences
- The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
- Finite-order weights imply tractability of multivariate integration
- Liberating the weights
- Smoothness and dimension reduction in quasi-Monte Carlo methods
- Low discrepancy sequences in high dimensions: how well are their projections distributed?
- New Brownian bridge construction in quasi-Monte Carlo methods for computational finance
- Lattice rule algorithms for multivariate approximation in the average case setting
- Fast component-by-component construction of rank-1 lattice rules with a non-prime number of points
- Good lattice rules in weighted Korobov spaces with general weights
- Control variates for quasi-Monte Carlo (with comments and rejoinder)
- Duality for digital nets and its applications
- Variance Reduction via Lattice Rules
- Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model
- On the use of low discrepancy sequences in Monte Carlo methods
- On the step-by-step construction of quasi--Monte Carlo integration rules that achieve strong tractability error bounds in weighted Sobolev spaces
- Average case complexity of multivariate integration
- Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
- On the Effects of Dimension Reduction Techniques on Some High-Dimensional Problems in Finance
- A Randomized Quasi-Monte Carlo Simulation Method for Markov Chains
- Good lattice rules based on the general weighted star discrepancy
- A Belgian View on Lattice Rules
- A Coding Theoretic Approach to Building Nets with Well-Equidistributed Projections
- Pricing Options Using Lattice Rules
- Explicit Constructions of Quasi-Monte Carlo Rules for the Numerical Integration of High-Dimensional Periodic Functions
- Walsh Spaces Containing Smooth Functions and Quasi–Monte Carlo Rules of Arbitrary High Order
- MONTE CARLO METHODS FOR SOLVING MULTIVARIABLE PROBLEMS
- Discrépance de suites associées à un système de numération (en dimension s)
- Imbedded Lattice Rules for Multidimensional Integration
- Randomization of Number Theoretic Methods for Multiple Integration
- Tables of linear congruential generators of different sizes and good lattice structure
- Latin supercube sampling for very high-dimensional simulations
- Generating Quasi-Random Paths for Stochastic Processes
- The asymptotic efficiency of randomized nets for quadrature
- Quasi-Random Sequences and Their Discrepancies
- A generalized discrepancy and quadrature error bound
- Monte Carlo Variance of Scrambled Net Quadrature
- Optimal quadrature for Haar wavelet spaces
- Randomized Polynomial Lattice Rules for Multivariate Integration and Simulation
- Extensible Lattice Sequences for Quasi-Monte Carlo Quadrature
- Good Parameters and Implementations for Combined Multiple Recursive Random Number Generators
- On strong tractability of weighted multivariate integration
- Implementation and tests of low-discrepancy sequences
- Maximally equidistributed combined Tausworthe generators
- The Variance Gamma Process and Option Pricing
- Constructing Embedded Lattice Rules for Multivariate Integration
- Brownian bridge and principal component analysis: towards removing the curse of dimensionality
- Constructing Robust Good Lattice Rules for Computational Finance
- Remark on algorithm 659
- Algorithm 823
- Efficient Weighted Lattice Rules with Applications to Finance
- On the distribution of points in a cube and the approximate evaluation of integrals
- Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?
- Combination of General Antithetic Transformations and Control Variables
- Estimating Mean Dimensionality of Analysis of Variance Decompositions
- Geometric discrepancy. An illustrated guide
- On selection criteria for lattice rules and other quasi-Monte Carlo point sets
