28 search results - page 5 / 6 » Quasi-Monte Carlo Methods in Finance |
ISPA
2004
Springer
14 years 27 days ago
2004
Springer
The Monte Carlo (MC) method is a simple but effective way to perform simulations involving complicated or multivariate functions. The QuasiMonte Carlo (QMC) method is similar but...
WSC
2008
13 years 9 months ago
2008
In this paper, we consider equity-linked life insurance contracts that give their holder the possibility to surrender their policy before maturity. Such contracts can be valued us...
NAA
2000
Springer
13 years 11 months ago
2000
Springer
Abstract. The convergence of Monte Carlo method for numerical integration can often be improved by replacing pseudorandom numbers (PRNs) with more uniformly distributed numbers kno...
GECCO
2005
Springer
14 years 1 months ago
2005
Springer
A Quasi-Monte-Carlo method based on the computation of a surrogate model of the fitness function is proposed, and its convergence at super-linear rate 3/2 is proved under rather ...
NAA
2000
Springer
13 years 11 months ago
2000
Springer
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...