Quasi-Monte Carlo methods with applications infinance
Quasi-Monte Carlo methods with applications infinance
About this item
Full title
Quasi-Monte Carlo methods with applications infinance
Author / Creator
Journal title
Finance and stochastics, 2009-09, Vol.13 (3), p.307-349
Language
English
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Scope and Contents
Contents
We review the basic principles of quasi-Monte Carlo (QMC) methods, the randomizations that turn them into variance-reduction techniques, the integration error and variance bounds obtained in terms of QMC point set discrepancy and variation of the integrand, and the main classes of point set constructions: lattice rules, digital nets, and permutatio...
Alternative Titles
Full title
Quasi-Monte Carlo methods with applications infinance
Authors, Artists and Contributors
Author / Creator
Identifiers
Primary Identifiers
Record Identifier
TN_cdi_proquest_miscellaneous_20144700
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_miscellaneous_20144700
Other Identifiers
ISSN
0949-2984
E-ISSN
1432-1122
DOI
10.1007/s00780-009-0095-y
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