In numerical analysis, the quasi-Monte Carlo method is a method for numerical integration and solving some other problems using low-discrepancy sequences...

Monte Carlo methods are used in corporate finance and mathematical finance to value and analyze (complex) instruments, portfolios and investments by simulating...

W. (1996), Quasi-Monte Carlo computation of a finance problem, 15-30, in Proceedings Workshop on Quasi-Monte Carlo Methods and their Applications, 11...

combination of MLMC with the Quasi-Monte Carlo method. Monte Carlo method Monte Carlo methods in finance Quasi-Monte Carlo methods in finance Uncertainty quantification...

In mathematical finance, a Monte Carlo option model uses Monte Carlo methods to calculate the value of an option with multiple sources of uncertainty or...

Monte Carlo methods, or Monte Carlo experiments, are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical...

one of the causes for violation of IID. Monte Carlo methods in finance Quasi-Monte Carlo methods in finance Financial modeling Giovanni Barone-Adesi...

methods for option pricing Monte Carlo methods in finance Quasi-Monte Carlo methods in finance Least Square Monte Carlo for American options Trinomial tree...

photon transport Monte Carlo methods in finance Monte Carlo methods for option pricing Quasi-Monte Carlo methods in finance Monte Carlo molecular modeling...

Particle filters, also known as sequential Monte Carlo methods, are a set of Monte Carlo algorithms used to find approximate solutions for filtering problems...

copula or quasi-Monte-Carlo methods and Monte Carlo methods in finance. The evaluation of quantile functions often involves numerical methods, such as...

calculation involves the use of Monte Carlo methods, but since this can involve many thousands of model runs, other methods (such as metamodels) can be used...

these methods become prohibitively expensive in terms of computational effort, one may use Monte Carlo or quasi-Monte Carlo methods (see Monte Carlo integration)...

"Integration with Quasi-Random Sequences: Numerical Experience," Int. J. Modern Phys. 6 (2), 263–275 (1995). P. Jackel, "Monte Carlo methods in finance", John Wiley...

expectation can then be approximated using Monte Carlo or quasi-Monte Carlo methods. When originally published by Kac in 1949, the Feynman–Kac formula was presented...

important techniques in science, particularly in the field of computational science. By analogy, quasi-Monte Carlo methods use quasi-random number generators...

dimension 32 in his book "Monte Carlo methods in finance". Other implementations are available as C, Fortran 77, or Fortran 90 routines in the Numerical...

Carlo method for photon transport Monte Carlo methods for option pricing Monte Carlo methods in finance Monte Carlo molecular modeling Moral graph Moran...

Extremal Events for Insurance and Finance. Springer (1997). Novak S.Y., Extreme value methods with applications to finance. Chapman & Hall/CRC Press (2011)...

sequences and quasi-Monte Carlo methods for numerical integration and finite element analysis. Originally from Taiwan, she was educated in New Zealand,...

trading strategies, the valuation of derivative finance products, Monte Carlo and quasi-Monte Carlo methods and number theory. Science Award of Rotary Austria...

LCCN 2011025050. Acerbi, Carlo; Tasche, Dirk (2002). "On the coherence of Expected Shortfall". Journal of Banking and Finance. 26 (7): 1487–1503. arXiv:cond-mat/0104295...

make this point arguing in favour of superlinear and second order Newton and quasi-Newton methods and reporting slow convergence in EM on the basis of their...

estimated), this expectation can be approximated through the following Monte Carlo algorithm: Draw a sample ( U 1 k , … , U d k ) ∼ C ( k = 1 , … , n )...

increase in available computing power to compute the posterior probability using numerical approximation techniques like Markov Chain Monte Carlo. For statistically...

such algorithms: Monte Carlo algorithms return a correct answer with high probability. E.g. RP is the subclass of these that run in polynomial time. Las...

PhD student, Spassimir Paskov, to compare the Monte Carlo method (MC) with the Quasi-Monte Carlo method (QMC) when calculating a collateralized mortgage...

small samples. (These values have been approximated using Monte Carlo simulation in Matlab) In MATLAB's implementation, the chi-squared approximation for...

Taylor & Francis Group. Schiller, Alex (2009) Malliavin Calculus for Monte Carlo Simulation with Financial Applications. Thesis, Department of Mathematics...

Frequency spectrum Hurst exponent Least-squares spectral analysis Monte Carlo method Panel analysis Random walk Scaled correlation Seasonal adjustment...