This paper compares Monte Carlo methods, lattice rules, and other low-discrepancy point sets on the problem of evaluating asian options. The combination of these methods with vari...
The problem of tracking pedestrians from a moving car is a challenging one. The Condensation tracking algorithm is appealing for its generality and potential for real-time implemen...
Vasanth Philomin, Ramani Duraiswami, Larry S. Davi...
Result checking is the theory and practice of proving that the result of an execution of a program on an input is correct. Result checking has most often been envisioned in the fr...
Our focus is on efficient estimation of tail probabilities of sums of correlated lognormals. This problem is motivated by the tail analysis of portfolios of assets driven by corre...
Jose Blanchet, Sandeep Juneja, Leonardo Rojas-Nand...