Abstract. Monte Carlo (MC) methods have proved to be flexible, robust and very useful techniques in computational finance. Several studies have investigated ways to achieve greater...
Today, quasi-Monte Carlo (QMC) methods are widely used in finance to price derivative securities. The QMC approach is popular because for many types of derivatives it yields an es...
In recent years the complexity of numerical computations in computational financial applications has been increased enormously. Monte Carlo algorithm is one of main tools in comput...
High performance computing is becoming increasingly important in the field of financial computing, as the complexity of financial models continues to increase. Many of these financ...
Portfolio credit derivatives that depend on default correlation are increasingly widespread in the credit market. Valuing such products often entails Monte Carlo simulation. Howev...