Dimension and Variance Reduction for Monte Carlo Methods for High-Dimensional Models in Finance

SSRN Electronic Journal ◽

10.2139/ssrn.2553044 ◽

2015 ◽

Author(s):

Duy-Minh Dang ◽

Kenneth R. Jackson ◽

Mohammadreza Mohammadi

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

Variance Reduction ◽

High Dimensional ◽

Dimensional Models

Download Full-text

Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance

Applied Mathematical Finance ◽

10.1080/1350486x.2015.1110492 ◽

2015 ◽

Vol 22 (6) ◽

pp. 522-552 ◽

Author(s):

Duy-Minh Dang ◽

Kenneth R. Jackson ◽

Mohammadreza Mohammadi

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

Variance Reduction ◽

High Dimensional ◽

Dimensional Models

Download Full-text

Variance Reduction for Monte Carlo Methods

Доклады Академии наук ◽

10.31857/s086956520002903-6 ◽

2018 ◽

Vol 482 (6) ◽

pp. 627-630

Author(s):

D. Belomestny ◽

◽

L. Iosipoi ◽

N. Zhivotovskiy ◽

◽

...

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

Variance Reduction

Download Full-text

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 ◽

Download Full-text

Variance Reduction Techniques of Importance Sampling Monte Carlo Methods for Pricing Options

Journal of Mathematical Finance ◽

10.4236/jmf.2013.34045 ◽

2013 ◽

Vol 03 (04) ◽

pp. 431-436 ◽

Author(s):

Qiang Zhao ◽

Guo Liu ◽

Guiding Gu

Keyword(s):

Monte Carlo ◽

Importance Sampling ◽

Monte Carlo Methods ◽

Variance Reduction ◽

Variance Reduction Techniques ◽

Pricing Options ◽

Reduction Techniques

Download Full-text

Calculation of Global, High-Dimensional Potential Energy Surface Fits in Canonical Decomposition Form Using Monte-Carlo Methods: Application to the Eigen Cation

High Performance Computing in Science and Engineering '20 ◽

10.1007/978-3-030-80602-6_5 ◽

2021 ◽

pp. 73-86

Author(s):

Markus Schröder ◽

Hans-Dieter Meyer ◽

Oriol Vendrell

Keyword(s):

Monte Carlo ◽

Potential Energy ◽

Potential Energy Surface ◽

Monte Carlo Methods ◽

Energy Surface ◽

Canonical Decomposition ◽

High Dimensional

Download Full-text

Markov Chain Monte Carlo Methods for High-dimensional Mixture Distributions

10.3997/2214-4609.201902273 ◽

2019 ◽

Author(s):

L. Passos de Figueiredo ◽

D. Grana ◽

M. Roisenberg ◽

B. Rodrigues

Keyword(s):

Monte Carlo ◽

Markov Chain ◽

Markov Chain Monte Carlo ◽

Monte Carlo Methods ◽

High Dimensional ◽

Mixture Distributions

Download Full-text

Understanding and improving Markov chain Monte Carlo methods in high dimensional problems

10.17077/etd.005463 ◽

2020 ◽

Author(s):

Rui Jin

Keyword(s):

Monte Carlo ◽

Markov Chain ◽

Markov Chain Monte Carlo ◽

Monte Carlo Methods ◽

High Dimensional

Download Full-text

Sequential Monte Carlo Methods for High-Dimensional Inverse Problems: A Case Study for the Navier--Stokes Equations

SIAM/ASA Journal on Uncertainty Quantification ◽

10.1137/130930364 ◽

2014 ◽

Vol 2 (1) ◽

pp. 464-489 ◽

Author(s):

Nikolas Kantas ◽

Alexandros Beskos ◽

Ajay Jasra

Keyword(s):

Monte Carlo ◽

Inverse Problems ◽

Monte Carlo Methods ◽

Sequential Monte Carlo ◽

Stokes Equations ◽

Navier Stokes ◽

High Dimensional ◽

Sequential Monte Carlo Methods ◽

Navier Stokes Equations

Download Full-text

Pricing Lookback Options under Normal Inverse Gaussian Model by Variance Reduction and Randomized Quasi-Monte Carlo Methods

2014 Seventh International Joint Conference on Computational Sciences and Optimization ◽

10.1109/cso.2014.89 ◽

2014 ◽

Author(s):

Yongzeng Lai ◽

Jilin Zhang

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

Variance Reduction ◽

Gaussian Model ◽

Inverse Gaussian ◽

Quasi Monte Carlo ◽

Lookback Options ◽

Normal Inverse Gaussian

Download Full-text

CORRECTION TO “QUASI-MONTE CARLO METHODS FOR HIGH-DIMENSIONAL INTEGRATION: THE STANDARD (WEIGHTED HILBERT SPACE) SETTING AND BEYOND”

The ANZIAM Journal ◽

10.1017/s1446181112000144 ◽

2012 ◽

Vol 53 (3) ◽

pp. 251-251

Author(s):

F. Y. KUO ◽

CH. SCHWAB ◽

I. H. SLOAN

Keyword(s):

Hilbert Space ◽

Monte Carlo ◽

Monte Carlo Methods ◽

High Dimensional ◽

Quasi Monte Carlo ◽

Download Full-text