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  • Search: subject:"Low Discrepancy Sequences"
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Year of publication
Subject
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Low-discrepancy sequences 5 Numerical integration 3 Monte Carlo method 2 Monte Carlo simulation 2 Quasi-Monte Carlo method 2 Uniformly distributed sequences 2 (quasi)-Monte Carlo 1 Accuracy assessment 1 Black-Scholes pricing model 1 CAPM 1 Certificate pricing 1 Differential evolution 1 Faure sequence 1 Faure sequences 1 Financial engineering 1 Halton sequences 1 Heston pricing model 1 Italien 1 Italy 1 Linear scrambling 1 Local Volatility pricing model 1 Low Discrepancy Sequences 1 Low Discrepancy Sequences (LDSs) 1 Monte-Carlo-Simulation 1 Nonlinear scrambling 1 Numerical Integration 1 Option Pricing 1 Option pricing theory 1 Optionspreistheorie 1 Parallel computation 1 Particle swarm optimization 1 Population-based optimization algorithms 1 Preis 1 Price 1 Pseudo-random sequences 1 Quasi-Monte Carlo (QMC) 1 Quasi-Monte Carlo methods 1 Quasi-random sequences 1 Sobol sequences 1 Sobol' sequences 1
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Online availability
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Undetermined 8
Type of publication
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Article 8 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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Undetermined 7 English 1 French 1
Author
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Bottasso, Anna 1 Chi, Hongmei 1 Clerc, Maurice 1 Cools, Ronald 1 Fusaro, Michelangelo 1 Giribone, Pier Giuseppe 1 Ninomiya, S. 1 Omran, Mahamed 1 Racicot, Francois-Éric 1 Ross, Raymond 1 Salman, Ayed 1 Schmid, Wolfgang Ch. 1 Snyder, William C 1 Sobol, I.M. 1 Tezuka, S. 1 Théoret, Raymond 1 Tissone, Alessio 1 Uhl, Andreas 1 Vandewoestyne, Bart 1 al-Sharhan, Salah 1
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Institution
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Départment des sciences administratives, Université du Québec en Outaouais (UQO) 1
Published in...
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Mathematics and Computers in Simulation (MATCOM) 4 Applied Mathematical Finance 2 Computational Optimization and Applications 1 International journal of financial engineering 1 RePAd Working Paper Series 1
Source
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RePEc 8 ECONIS (ZBW) 1
Showing 1 - 9 of 9
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Investment certificates pricing using a Quasi-Monte Carlo framework : case-studies based on the Italian market
Bottasso, Anna; Fusaro, Michelangelo; Giribone, Pier … - In: International journal of financial engineering 10 (2023) 3, pp. 1-39
Persistent link: https://www.econbiz.de/10014444661
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Studying the effect of using low-discrepancy sequences to initialize population-based optimization algorithms
Omran, Mahamed; al-Sharhan, Salah; Salman, Ayed; Clerc, … - In: Computational Optimization and Applications 56 (2013) 2, pp. 457-480
In this paper, we investigate the use of low-discrepancy sequences to generate an initial population for population …-based optimization algorithms. Previous studies have found that low-discrepancy sequences generally improve the performance of a … functions (5 of them quasi-real-world problems), two popular low-discrepancy sequences and two well-known population …
Persistent link: https://www.econbiz.de/10010698279
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Computational investigations of scrambled Faure sequences
Vandewoestyne, Bart; Chi, Hongmei; Cools, Ronald - In: Mathematics and Computers in Simulation (MATCOM) 81 (2010) 3, pp. 522-535
The Faure sequence is one of the well-known quasi-random sequences used in quasi-Monte Carlo applications. In its original and most basic form, the Faure sequence suffers from correlations between different dimensions. These correlations result in poorly distributed two-dimensional projections....
Persistent link: https://www.econbiz.de/10010870540
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La simulation de Monte Carlo: forces et faiblesses (avec applications Visual Basic et Matlab et présentation d’une nouvelle méthode QMC)
Racicot, Francois-Éric; Théoret, Raymond - Départment des sciences administratives, Université … - 2006
: antithetic variables, control variates and low discrepancy sequences: Faure, Sobol and Halton sequences. We show how to compute …
Persistent link: https://www.econbiz.de/10005773152
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Techniques for parallel quasi-Monte Carlo integration with digital sequences and associated problems
Schmid, Wolfgang Ch.; Uhl, Andreas - In: Mathematics and Computers in Simulation (MATCOM) 55 (2001) 1, pp. 249-257
Currently, in the context of quasi-Monte Carlo applications the most effective low-discrepancy sequences are digital (t …
Persistent link: https://www.econbiz.de/10010749978
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Accuracy estimation for quasi-Monte Carlo simulations
Snyder, William C - In: Mathematics and Computers in Simulation (MATCOM) 54 (2000) 1, pp. 131-143
The conventional Monte Carlo approach to integration and simulation is a useful alternative to analytic or quadrature methods. It has been recognized through theory and practice that a variety of uniformly distributed sequences provide more accurate results than a purely pseudorandom sequence....
Persistent link: https://www.econbiz.de/10010870620
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Good point methods for computing prices and sensitivities of multi-asset European style options
Ross, Raymond - In: Applied Mathematical Finance 5 (1998) 2, pp. 83-106
Using number-theoretic methods, we investigate low-discrepancy sequences and weighted-sum estimators which outperform … are simpler to implement than most low-discrepancy sequences, and computation time is considerably faster. …
Persistent link: https://www.econbiz.de/10005462507
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On quasi-Monte Carlo integrations
Sobol, I.M. - In: Mathematics and Computers in Simulation (MATCOM) 47 (1998) 2, pp. 103-112
Relations between Monte Carlo and quasi-Monte Carlo methods are analysed from both theoretical and practical points of view with special emphasis on high-dimensional integration.
Persistent link: https://www.econbiz.de/10010870116
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Toward real-time pricing of complex financial derivatives
Ninomiya, S.; Tezuka, S. - In: Applied Mathematical Finance 3 (1996) 1, pp. 1-20
In this paper, we investigate the feasibility of using low-discrepancy sequences to allow complex derivatives, such as … conventional Monte Carlo methods. In our experiments, we examine classical classes of low-discrepancy sequences, such as Halton … classical sequences and Monte Carlo methods; and (2) classical low-discrepancy sequences often perform worse than Monte Carlo …
Persistent link: https://www.econbiz.de/10009279107
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