Reference health
Quasi-Monte Carlo methods with applications in finance
97/97 checkable references clean · checked 2026-07-26
Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
17 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.
The 97 checked references that resolve
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A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing
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Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model
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Combination of General Antithetic Transformations and Control Variables
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Valuation of mortgage-backed securities using Brownian bridges to reduce effective dimension
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American options and the LSM algorithm: quasi-random sequences and Brownian bridges
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The tent transformation can improve the convergence rate of quasi-Monte Carlo algorithms using digital nets
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A Coding Theoretic Approach to Building Nets with Well-Equidistributed Projections
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Discrépance de suites associées à un système de numération (en dimension s)
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On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
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Component-by-component constructions achieve the optimal rate of convergence for multivariate integration in weighted Korobov and Sobolev spaces
resolves10.1016/j.jco.2006.10.006
Lattice rule algorithms for multivariate approximation in the average case setting
resolves10.1007/978-3-642-18743-8_20
Quasi-Monte Carlo Methods for Estimating Transient Measures of Discrete Time Markov Chains
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Good Parameters and Implementations for Combined Multiple Recursive Random Number Generators
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Tables of linear congruential generators of different sizes and good lattice structure
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On selection criteria for lattice rules and other quasi-Monte Carlo point sets
resolves10.1137/S1064827501393782
Randomized Polynomial Lattice Rules for Multivariate Integration and Simulation
resolves10.1016/j.jco.2007.06.001
New Brownian bridge construction in quasi-Monte Carlo methods for computational finance
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Estimating Mean Dimensionality of Analysis of Variance Decompositions
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Low-discrepancy point sets obtained by digital constructions over finite fields
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Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
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Fast component-by-component construction of rank-1 lattice rules with a non-prime number of points
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Quasi-Monte Carlo for Integrands with Point Singularities at Unknown Locations
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Infinite-Dimensional Highly-Uniform Point Sets Defined via Linear Recurrences in $$\mathbb{F}_{2^w } $$
resolves10.1006/jcom.2001.0631
The Brownian Bridge Does Not Offer a Consistent Advantage in Quasi-Monte Carlo Integration
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Good lattice rules based on the general weighted star discrepancy
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QMC Integration — Beating Intractability by Weighting the Coordinate Directions
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On the step-by-step construction of quasi–Monte Carlo integration rules that achieve strong tractability error bounds in weighted Sobolev spaces
resolves10.1016/j.jco.2003.11.003
Finite-order weights imply tractability of multivariate integration
resolves10.1006/jcom.1997.0463
When Are Quasi-Monte Carlo Algorithms Efficient for High Dimensional Integrals?
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Tractability of Integration in Non-periodic and Periodic Weighted Tensor Product Hilbert Spaces
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On the distribution of points in a cube and the approximate evaluation of integrals
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On the Effects of Dimension Reduction Techniques on Some High-Dimensional Problems in Finance
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Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?
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Brownian bridge and principal component analysis: towards removing the curse of dimensionality
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The 17 references without a DOI — listed, not checked
no DOI — not checkedBierbrauer, J., Edel, Y.: Construction of digital nets from BCH-codes. In: Hellekalek, P., Larcher, G., Niederreiter, H., Zinterhof, P. (eds.) Monte Carlo and Quasi-Monte Carlo Methods 1996. Lecture Notes in Statistics, vol. 127, pp. 221–231. Springer, New York (1998)
no DOI — not checkedDick, J.: Explicit constructions of quasi-Monte Carlo rules for the numerical integration of high-dimensional periodic functions (2008). http://www2.maths.unsw.edu.au/Contacts/profile.php?logname=josi
no DOI — not checkedDick, J.: Walsh spaces containing smooth functions and quasi-Monte Carlo rules of arbitrary high order (2008). http://www2.maths.unsw.edu.au/Contacts/profile.php?logname=josi
no DOI — not checkedFriedel, I., Keller, A.: Fast generation of randomized low-discrepancy point sets. In: Fang, K.T., Hickernell, F.J., Niederreiter, H. (eds.) Monte Carlo and Quasi-Monte Carlo Methods 2000, pp. 257–273. Springer, Berlin (2001)
no DOI — not checkedGlasserman, P.: Monte Carlo Methods in Financial Engineering. Springer, New York (2004)
no DOI — not checkedHua, L., Wang, Y.: Applications of Number Theory to Numerical Analysis. Springer, Berlin (1981)
no DOI — not checkedImai, J., Tan, K.S.: Enhanced quasi-Monte Carlo methods with dimension reduction. In: Yücesan, E., Chen, C.H., Snowdon, J.L., Charnes, J.M. (eds.) Proceedings of the 2002 Winter Simulation Conference, pp. 1502–1510. IEEE Press, Piscataway (2002)
no DOI — not checkedJäckel, P.: Monte Carlo Methods in Finance. Wiley, Chichester (2002)
no DOI — not checkedKnuth, D.E.: The Art of Computer Programming, vol. 2: Seminumerical Algorithms, 3rd edn. Addison-Wesley, Reading (1998)
no DOI — not checkedKuo, F.Y., Sloan, I.H.: Lifting the curse of dimensionality. Not. Am. Math. Soc. 52, 1320–1328 (2005)
no DOI — not checkedL’Ecuyer, P.: Quasi-Monte Carlo methods in finance. In: Ingalls, R.G., Rossetti, M.D., Smith, J.S., Peters, B.A. (eds.) Proceedings of the 2004 Winter Simulation Conference, pp. 1645–1655. IEEE Press, Piscataway (2004)
no DOI — not checkedL’Ecuyer, P.: SSJ: A Java Library for Stochastic Simulation (2008). Software user’s guide. http://www.iro.umontreal.ca/~lecuyer
no DOI — not checkedL’Ecuyer, P., Lemieux, C.: Quasi-Monte Carlo via linear shift-register sequences. In: Proceedings of the 1999 Winter Simulation Conference, pp. 632–639. IEEE Press, Piscataway (1999)
no DOI — not checkedLemieux, C.: L’utilisation de règles de réseau en simulation comme technique de réduction de la variance. PhD thesis, Université de Montréal (2000)
no DOI — not checkedLemieux, C., Cieslak, M., Luttmer, K.: RandQMC User’s Guide: A Package for Randomized Quasi-Monte Carlo Methods in C (2004). Software user’s guide. http://www.math.uwaterloo.ca/~lemieux/randqmc.html
no DOI — not checkedSchmid, W.C., Schürer, R.: MinT, the database for optimal (t,m,s)-net parameters (2005). http://mint.sbg.ac.at
no DOI — not checkedTraub, J.F., Wasilkowski, G.W., Woźniakowski, H.: Information-Based Complexity. Academic Press, New York (1988)
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