SIAMNUM
2010
13 years 7 months ago
2010
The quantization based filtering method (see [13], [14]) is a grid based approximation method to solve nonlinear filtering problems with discrete time observations. It relies on o...
FS
2010
13 years 11 months ago
2010
The aim of this paper is to investigate the properties of stochastic volatility models, and to discuss to what extent, and with regard to which models, properties of the classical...
ICCS
2001
Springer
14 years 5 months ago
2001
Springer
We give the background and required tools for applying quasi-Monte Carlo methods efficiently to problems in computational finance, and survey recent developments in this field. W...