How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?

Journal of Complexity ◽

10.1016/j.jco.2011.10.011 ◽

2012 ◽

Vol 28 (2) ◽

pp. 250-277 ◽

Author(s):

Xiaoqun Wang ◽

Ken Seng Tan

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

Path Generation ◽

Quasi Monte Carlo

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Correction to “Quasi-Monte Carlo methods for high-dimensional integration: the standard (weighted Hilbert space) setting and beyond”

ANZIAM Journal ◽

10.21914/anziamj.v54i0.6962 ◽

2013 ◽

Vol 54 ◽

pp. 216 ◽

Author(s):

F. Y. Kuo ◽

Ch. Schwab ◽

I. H. Sloan

Keyword(s):

Hilbert Space ◽

Monte Carlo ◽

Monte Carlo Methods ◽

High Dimensional ◽

Quasi Monte Carlo ◽

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Quasi-Monte Carlo methods for two-stage stochastic mixed-integer programs

Mathematical Programming ◽

10.1007/s10107-020-01538-6 ◽

2020 ◽

Author(s):

H. Leövey ◽

W. Römisch

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

Mixed Integer ◽

Two Stage ◽

Integer Programs ◽

Quasi Monte Carlo ◽

Mixed Integer Programs

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Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems

Mathematics of Computation ◽

10.1090/mcom/3207 ◽

2017 ◽

Vol 86 (308) ◽

pp. 2827-2860 ◽

Author(s):

Frances Y. Kuo ◽

Robert Scheichl ◽

Christoph Schwab ◽

Ian H. Sloan ◽

Elisabeth Ullmann

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

Quasi Monte Carlo ◽

Diffusion Problems

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Error Estimation for Quasi-Monte Carlo Methods

Monte Carlo and Quasi-Monte Carlo Methods 1996 - Lecture Notes in Statistics ◽

10.1007/978-1-4612-1690-2_25 ◽

1998 ◽

pp. 353-368 ◽

Author(s):

Giray Ökten

Keyword(s):

Monte Carlo ◽

Error Estimation ◽

Monte Carlo Methods ◽

Quasi Monte Carlo

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Some patterns in primes and their possible applications as quasi-Monte Carlo methods in multivariable integration

Numerical Modeling of Coupled Phenomena in Science and Engineering ◽

10.1201/9780203886229-13 ◽

2008 ◽

pp. 87-102

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

Quasi Monte Carlo

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Radiative Heat Transfer with Quasi Monte Carlo Methods

Simulation of Semiconductor Devices and Processes ◽

10.1007/978-3-7091-6657-4_92 ◽

1993 ◽

pp. 373-376

Author(s):

A. Kersch ◽

W. Morokoff

Keyword(s):

Heat Transfer ◽

Monte Carlo ◽

Radiative Heat Transfer ◽

Monte Carlo Methods ◽

Radiative Heat ◽

Quasi Monte Carlo

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Parallel Quasi-Monte Carlo Methods on a Heterogeneous Cluster

Monte Carlo and Quasi-Monte Carlo Methods 2000 ◽

10.1007/978-3-642-56046-0_28 ◽

2002 ◽

pp. 406-421 ◽

Author(s):

Giray Ökten ◽

Ashok Srinivasan

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

Heterogeneous Cluster ◽

Quasi Monte Carlo

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Monte Carlo and Quasi-Monte Carlo Methods 2010

10.1007/978-3-642-27440-4 ◽

2012 ◽

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

Quasi Monte Carlo

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Quasi-Monte Carlo Methods for Global Optimization

Mathematical Statistics and Applications ◽

10.1007/978-94-009-5438-0_18 ◽

1985 ◽

pp. 251-267 ◽

Author(s):

Harald Niederreiter

Keyword(s):

Monte Carlo ◽

Global Optimization ◽

Monte Carlo Methods ◽

Quasi Monte Carlo

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Quasi-Monte Carlo methods and their randomizations

AMS/IP Studies in Advanced Mathematics - Applied Probability ◽

10.1090/amsip/026/06 ◽

2002 ◽

pp. 59-78 ◽

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

Quasi Monte Carlo

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