In this paper we compare the average performance of Monte Carlo methods for global optimization with non-adaptive deterministic alternatives. We analyze the behavior of the algori...
In recent years the financial world has seen an increasing demand for faster risk simulations, driven by growth in client portfolios. Traditionally many financial models employ Mo...
We review the basic principles of Quasi-Monte Carlo (QMC) methods, the randomizations that turn them into variancereduction techniques, and the main classes of constructions under...
Recently, Monte-Carlo Tree Search (MCTS) has advanced the field of computer Go substantially. In the game of Lines of Action (LOA), which has been dominated in the past by αβ, M...
We investigate the use of Antithetic Variables, Control Variates and Importance Sampling to reduce the statistical errors of option sensitivities calculated with the Likelihood Ra...