-
1
-
-
0002809516
-
A comparison of some Monte Carlo and quasi-Monte Carlo techniques for option pricing
-
Hellekallek, P., Niederreiter H. (eds) Spring-Verlag
-
Acworth, P., Broadie M., Glasserman, P.: A comparison of some Monte Carlo and quasi-Monte Carlo techniques for option pricing. In: Hellekallek, P., Niederreiter H. (eds) Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing. Spring-Verlag, pp 1-18, 1997
-
(1997)
Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing
, pp. 1-18
-
-
Acworth, P.1
Broadie, M.2
Glasserman, P.3
-
2
-
-
38149143488
-
Properties of certain trigonometric series arising in numerical analysis
-
Brown, G., Chandler, G.A., Sloan, I.H., Wilson, D.C.: Properties of certain trigonometric series arising in numerical analysis. J. Math. Anal. Appl. 371-380 (1991)
-
(1991)
J. Math. Anal. Appl.
, pp. 371-380
-
-
Brown, G.1
Chandler, G.A.2
Sloan, I.H.3
Wilson, D.C.4
-
3
-
-
0003008716
-
Valuation of Mortgage backed securities using Brownian bridges to reduce effective dimension
-
Caflisch, R.E., Morokoff, W., Owen, A.B.: Valuation of Mortgage backed securities using Brownian bridges to reduce effective dimension. J. Comp. Finance 1, 27-46 (1997)
-
(1997)
J. Comp. Finance
, vol.1
, pp. 27-46
-
-
Caflisch, R.E.1
Morokoff, W.2
Owen, A.B.3
-
4
-
-
3242738676
-
On the convergence order of the component-by-component construction of good lattice rules
-
Dick, J.: On the convergence order of the component-by-component construction of good lattice rules. J. Complexity 20, 493-522 (2004)
-
(2004)
J. Complexity
, vol.20
, pp. 493-522
-
-
Dick, J.1
-
5
-
-
1242296556
-
Liberating the weights
-
Dick, J., Sloan, I.H., Wang, X., Woźniakowski, H.: Liberating the weights. J. Complexity 20, 593-623 (2004)
-
(2004)
J. Complexity
, vol.20
, pp. 593-623
-
-
Dick, J.1
Sloan, I.H.2
Wang, X.3
Woźniakowski, H.4
-
6
-
-
0036791296
-
The error bounds and tractability of quasi-Monte Carlo algorithms in infinite dimension
-
Hickernell, F.J., Wang, X.: The error bounds and tractability of quasi-Monte Carlo algorithms in infinite dimension. Math. Comp. 71, 1641-1661 (2002)
-
(2002)
Math. Comp.
, vol.71
, pp. 1641-1661
-
-
Hickernell, F.J.1
Wang, X.2
-
7
-
-
0041638501
-
Integration and approximation in arbitrary dimensions
-
Hickernell, F.J., Woźniakowski, H.: Integration and approximation in arbitrary dimensions. Adv. Comput. Math. 12, 25-58 (2000)
-
(2000)
Adv. Comput. Math.
, vol.12
, pp. 25-58
-
-
Hickernell, F.J.1
Woźniakowski, H.2
-
8
-
-
0038392447
-
Component-by-component constructions achieve the optimal rate of convergence for multivariate integration in weighted Korobov and Sobolev spaces
-
Kuo, F.Y.: Component-by-component constructions achieve the optimal rate of convergence for multivariate integration in weighted Korobov and Sobolev spaces. J. Complexity 19, 301-320 (2003)
-
(2003)
J. Complexity
, vol.19
, pp. 301-320
-
-
Kuo, F.Y.1
-
9
-
-
0036889417
-
Component-by-component construction of good lattice points with composite number of points
-
Kuo, F.Y.. Joe, S.: Component-by-component construction of good lattice points with composite number of points. J. Complexity 18, 943-976 (2002)
-
(2002)
J. Complexity
, vol.18
, pp. 943-976
-
-
Kuo, F.Y.1
Joe, S.2
-
11
-
-
0035373628
-
Intractability results for integration and discrepancy
-
Novak, E., Woźniakowski, H.: Intractability results for integration and discrepancy. J. Complexity 17, 388-441 (2001)
-
(2001)
J. Complexity
, vol.17
, pp. 388-441
-
-
Novak, E.1
Woźniakowski, H.2
-
13
-
-
0038624700
-
Constructing randomly shifted lattice rules in weighted Sobolev spaces
-
Sloan, I.H., Kuo, F.Y., Joe, S.: Constructing randomly shifted lattice rules in weighted Sobolev spaces. SIAM J. Numer. Anal. 40, 1650-1665 (2002)
-
(2002)
SIAM J. Numer. Anal.
, vol.40
, pp. 1650-1665
-
-
Sloan, I.H.1
Kuo, F.Y.2
Joe, S.3
-
14
-
-
1242299745
-
Finite-order weights imply tractability of multi-variate integration
-
Sloan, I.H., Wang, X., Woźniakowski, H.: Finite-order weights imply tractability of multi-variate integration. J. Complexity 20, 46-74 (2004)
-
(2004)
J. Complexity
, vol.20
, pp. 46-74
-
-
Sloan, I.H.1
Wang, X.2
Woźniakowski, H.3
-
15
-
-
0002522806
-
When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
-
Sloan, I.H., Woźniakowski, H.: When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?. J. Complexity 14, 1-33 (1998)
-
(1998)
J. Complexity
, vol.14
, pp. 1-33
-
-
Sloan, I.H.1
Woźniakowski, H.2
-
16
-
-
0035700415
-
Tractability of multivariate integration for weighted Korobov classes
-
Sloan, I.H., Woźniakowski, H.: Tractability of multivariate integration for weighted Korobov classes. J. Complexity 17, 697-721 (2001)
-
(2001)
J. Complexity
, vol.17
, pp. 697-721
-
-
Sloan, I.H.1
Woźniakowski, H.2
-
17
-
-
0001352321
-
On the distribution of points in a cube and the approximate evaluation of integrals
-
Sobol', I.M.: On the distribution of points in a cube and the approximate evaluation of integrals. Zh. Vychisli. Mat. i Mat. Fiz. 7, 784-802 (1967)
-
(1967)
Zh. Vychisli. Mat. i Mat. Fiz.
, vol.7
, pp. 784-802
-
-
Sobol, I.M.1
-
19
-
-
0037389675
-
Effective dimensions and quasi-Monte Carlo integration
-
Wang, X., Fang, K.T.: Effective dimensions and quasi-Monte Carlo integration. J. Complexity 19, 101-124 (2003)
-
(2003)
J. Complexity
, vol.19
, pp. 101-124
-
-
Wang, X.1
Fang, K.T.2
-
20
-
-
33144490090
-
Why are high-dimensional finance problems often of low effective dimension?
-
Wang, X., Sloan, I.H.: Why are high-dimensional finance problems often of low effective dimension?. SIAM J. Sci. Comput. 27, 159-183 (2005)
-
(2005)
SIAM J. Sci. Comput.
, vol.27
, pp. 159-183
-
-
Wang, X.1
Sloan, I.H.2
-
21
-
-
85140867269
-
Efficient weighted lattice rules with application to finance
-
to appear
-
Wang, X., Sloan. I.: Efficient weighted lattice rules with application to finance. SIAM J. Sci. Comput. (to appear)
-
SIAM J. Sci. Comput.
-
-
Wang, X.1
Sloan, I.2
-
22
-
-
3242740299
-
On Korobov lattice rules in weighted spaces
-
Wang, X., Sloan, I.H., Dick, J.: On Korobov lattice rules in weighted spaces. SIAM J. Numer. Anal. 42, 1760-1779 (2004)
-
(2004)
SIAM J. Numer. Anal.
, vol.42
, pp. 1760-1779
-
-
Wang, X.1
Sloan, I.H.2
Dick, J.3
|