Randomized multilevel quasi-Monte Carlo path simulation

DOI10.1142/9789814436434_0009MaRDI QIDQ2849680zbMATH OpenOpenAlexFDO

Authors Thomas Gerstner, Marco Noll

Publication date 24 September 2013

Published in Recent Developments in Computational Finance (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/947599823e33e08e64bb166af2dbd4d32c67ed9b

Mathematics Subject Classification ID

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

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(8)

• Optimal multilevel randomized quasi-Monte-Carlo method for the stochastic drift-diffusion-Poisson system
• Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation
• ON THE ERROR IN THE MONTE CARLO PRICING OF SOME FAMILIAR EUROPEAN PATH-DEPENDENT OPTIONS
• Multilevel quasi-Monte Carlo path simulation
• On the convergence of the quasi-regression method: polynomial chaos and regularity
• scientific article; zbMATH DE number 7626793 (Why is no real title available?)
• Efficient risk estimation via nested multilevel quasi-Monte Carlo simulation
• Multilevel Monte Carlo simulation of Coulomb collisions

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