Search Results - subject:"Randomized Quasi Monte Carlo"

Implementation of variance reduction techniques applied to the pricing of investment certificates

Bottasso, Anna; Fusaro, Michelangelo; Giribone, Pier … - In: Risk management magazine 18 (2023) 1, pp. 19-42

Certificates are structured financial instruments that aim to provide investors with investment solutions tailored to their needs. Certificates can be modeled using a bond component and a derivative component, typically an options strategy. The pricing of certificates is typically performed...

Persistent link: https://www.econbiz.de/10014327175

Variance reduction for generalized likelihood ratio method by conditional Monte Carlo and randomized Quasi-Monte Carlo methods

Peng, Yijie; Fu, Michael; Hu, Jiaqiao; L'Ecuyer, Pierre; … - In: Journal of management science and engineering 7 (2022) 4, pp. 550-577

practice. Moreover, we combine GLR with conditional Monte Carlo methods and randomized quasi-Monte Carlo methods to reduce the …

Persistent link: https://www.econbiz.de/10014315671

The importance of being scrambled : supercharged quasi-Monte Carlo

Kucherenko, Sergei; Hok, Julien - In: Journal of risk : JOR 26 (2023) 1, pp. 27-46

Persistent link: https://www.econbiz.de/10014487277

Improving approximate Bayesian computation via quasi Monte Carlo

Buchholz, Alexander; Chopin, Nicolas - 2017

Persistent link: https://www.econbiz.de/10012198654

Note on pairwise negative dependence of randomly shifted and jittered rank-1 lattices

Wnuk, Marcin; Gnewuch, Michael - In: Operations research letters 48 (2020) 4, pp. 410-414

Persistent link: https://www.econbiz.de/10012294754

Valuing American options by least-squares randomized quasi-Monte Carlo methods

Wu, Xin-Yu; Zhou, Hai-Lin; Wang, Shouyang - In: Journal of financial engineering 1 (2014) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10010508081

Time series simulation with randomized quasi-monte carlo methods : an application to value at risk and expected shortfall

Tzeng, Yu-Ying; Beaumont, Paul Michael; Ökten, Giray - In: Computational economics 52 (2018) 1, pp. 55-77

Persistent link: https://www.econbiz.de/10012052921

Estimation of the mixed logit likelihood function by randomized quasi-Monte Carlo

Munger, D.; L’Ecuyer, P.; Bastin, F.; Cirillo, C.; … - In: Transportation Research Part B: Methodological 46 (2012) 2, pp. 305-320

We examine the effectiveness of randomized quasi-Monte Carlo (RQMC) techniques to estimate the integrals that express …

Persistent link: https://www.econbiz.de/10010577921

Coupling from the past with randomized quasi-Monte Carlo

L’Ecuyer, P.; Sanvido, C. - In: Mathematics and Computers in Simulation (MATCOM) 81 (2010) 3, pp. 476-489

have already proposed to do this via antithetic variates, Latin hypercube sampling, and randomized quasi-Monte Carlo (RQMC …

Persistent link: https://www.econbiz.de/10010869901