273 search results - page 26 / 55 » Generalized darting Monte Carlo |
DAGSTUHL
2004
13 years 9 months ago
2004
We study the intrinsic difficulty of solving linear parabolic initial value problems numerically at a single point. We present a worst case analysis for deterministic as well as fo...
WSC
2004
13 years 9 months ago
2004
We develop an efficient Monte Carlo algorithm for pricing barrier options with the variance gamma model (Madan, Carr, and Chang 1998). After generalizing the double-gamma bridge s...
CSDA
2010
13 years 7 months ago
2010
We study a general algorithm to improve accuracy in cluster analysis that employs the James-Stein shrinkage effect in k-means clustering. We shrink the centroids of clusters towar...
CSDA
2008
13 years 7 months ago
2008
In this paper we use a general procedure for fractional integration and structural breaks at unknown points in time, which allows for different orders of integration and determini...
CSDA
2006
13 years 7 months ago
2006
Flexible discriminant analysis (FDA) is a general methodology which aims at providing tools for multigroup non linear classification. It consists in a nonparametric version of dis...