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Quasi‐ M onte C arlo Methods

https://doi.org/10.1002/9780470061602.eqf13019
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1006/ffta.1996.0016openalex-snapshot
Low-Discrepancy Sequences and Global Function Fields with Many Rational Places
inferredcites →https://doi.org/10.1006/jcom.1997.0463openalex-snapshot
When Are Quasi-Monte Carlo Algorithms Efficient for High Dimensional Integrals?
inferredcites →https://doi.org/10.1006/jcom.1998.0487openalex-snapshot
Scrambling Sobol' and Niederreiter–Xing Points
inferredcites →https://doi.org/10.1006/jcom.1998.0489openalex-snapshot
On theL2-Discrepancy for Anchored Boxes
inferredcites →https://doi.org/10.1006/jcom.2002.0641openalex-snapshot
A Constructive Approach to Strong Tractability Using Quasi-Monte Carlo Algorithms
inferredcites →https://doi.org/10.1007/0-306-48102-2_20openalex-snapshot
Recent Advances in Randomized Quasi-Monte Carlo Methods
inferredcites →https://doi.org/10.1007/978-1-4612-1690-2_1openalex-snapshot
A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing
inferredcites →https://doi.org/10.1007/978-1-4612-1702-2_3openalex-snapshot
Lattice Rules: How Well Do They Measure Up?
inferredcites →https://doi.org/10.1007/978-1-4612-1702-2_6openalex-snapshot
Nets, (t, s)-Sequences, and Algebraic Geometry
inferredcites →https://doi.org/10.1007/978-1-4612-1702-2_7openalex-snapshot
Financial Applications of Monte Carlo and Quasi-Monte Carlo Methods
inferredcites →https://doi.org/10.1007/978-1-4612-2552-2_19openalex-snapshot
Randomly Permuted (t,m,s)-Nets and (t, s)-Sequences
inferredcites →https://doi.org/10.1007/978-1-4757-2553-7openalex-snapshot
Monte Carlo
inferredcites →https://doi.org/10.1007/978-1-4757-3150-7_2openalex-snapshot
Pricing American Options by Simulation Using a Stochastic Mesh with Optimized Weights
inferredcites →https://doi.org/10.1007/978-3-540-74496-2_5openalex-snapshot
Nets, (t, s)-Sequences, and Codes
inferredcites →https://doi.org/10.1007/978-3-642-18743-8_10openalex-snapshot
Constructing Good Lattice Rules with Millions of Points
inferredcites →https://doi.org/10.1007/978-3-642-18743-8_15openalex-snapshot
The Strong Tractability of Multivariate Integration Using Lattice Rules
inferredcites →https://doi.org/10.1007/978-3-642-18743-8_16openalex-snapshot
Minimizing Effective Dimension Using Linear Transformation
inferredcites →https://doi.org/10.1007/978-3-642-18743-8_3openalex-snapshot
On Tractability of Weighted Integration for Certain Banach Spaces of Functions
inferredcites →https://doi.org/10.1007/978-3-642-56046-0_12openalex-snapshot
Pricing American Derivatives using Simulation: A Biased Low Approach
inferredcites →https://doi.org/10.1007/978-3-642-56046-0_16openalex-snapshot
Another Random Scrambling of Digital (t,s)-Sequences
inferredcites →https://doi.org/10.1007/978-3-642-56046-0_17openalex-snapshot
Fast Generation of Randomized Low-Discrepancy Point Sets
inferredcites →https://doi.org/10.1007/978-3-642-56046-0_22openalex-snapshot
Quasi-Regression and the Relative Importance of the ANOVA Components of a Function
inferredcites →https://doi.org/10.1007/978-3-642-56046-0_30openalex-snapshot
A Software Implementation of Niederreiter-Xing Sequences
inferredcites →https://doi.org/10.1007/978-3-642-56046-0_7openalex-snapshot
QMC Integration — Beating Intractability by Weighting the Coordinate Directions
inferredcites →https://doi.org/10.1007/978-3-642-59657-5_19openalex-snapshot
Applications of Monte Carlo/Quasi-Monte Carlo Methods in Finance: Option Pricing
inferredcites →https://doi.org/10.1007/978-3-642-59657-5_7openalex-snapshot
Efficiency of Quasi-Monte Carlo Algorithms for High Dimensional Integrals
inferredcites →https://doi.org/10.1007/978-94-017-0427-4_1openalex-snapshot
Monte Carlo Simulation for American Options
inferredcites →https://doi.org/10.1007/bf01294651openalex-snapshot
Point sets and sequences with small discrepancy
inferredcites →https://doi.org/10.1007/bf01386213openalex-snapshot
On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
inferredcites →https://doi.org/10.1016/0022-314x(88)90025-xopenalex-snapshot
Low-discrepancy and low-dispersion sequences
inferredcites →https://doi.org/10.1016/0041-5553(67)90144-9openalex-snapshot
On the distribution of points in a cube and the approximate evaluation of integrals
inferredcites →https://doi.org/10.1016/0304-405x(77)90005-8openalex-snapshot
Options: A Monte Carlo approach
inferredcites →https://doi.org/10.1016/j.ffa.2005.01.001openalex-snapshot
Constructions of (t,m,s) -nets and (t,s) -sequences
inferredcites →https://doi.org/10.1016/j.jco.2003.11.003openalex-snapshot
Finite-order weights imply tractability of multivariate integration
inferredcites →https://doi.org/10.1016/j.jco.2004.07.003openalex-snapshot
Multivariate integration in weighted Hilbert spaces based on Walsh functions and weighted Sobolev spaces
inferredcites →https://doi.org/10.1016/j.jco.2005.10.004openalex-snapshot
Improved upper bounds on the star discrepancy of (t,m,s) -nets and (t,s) -sequences
inferredcites →https://doi.org/10.1016/j.jedc.2003.11.003openalex-snapshot
Randomized quasi-Monte Carlo methods in pricing securities
inferredcites →https://doi.org/10.1016/s0165-1889(97)00028-6openalex-snapshot
Monte Carlo methods for security pricing
inferredcites →https://doi.org/10.1016/s0165-1889(99)00087-1openalex-snapshot
Applications of randomized low discrepancy sequences to the valuation of complex securities
inferredcites →https://doi.org/10.1016/s0377-0427(02)00665-9openalex-snapshot
Error bounds for quasi-Monte Carlo integration with uniform point sets
inferredcites →https://doi.org/10.1016/s0378-4754(02)00248-3openalex-snapshot
An improved simulation method for pricing high-dimensional American derivatives
inferredcites →https://doi.org/10.1016/s0885-064x(03)00006-2openalex-snapshot
Component-by-component constructions achieve the optimal rate of convergence for multivariate integration in weighted Korobov and Sobolev spaces
inferredcites →https://doi.org/10.1017/cbo9780511525988.022openalex-snapshot
Quasirandom points and global function fields
inferredcites →https://doi.org/10.1017/cbo9781107325951openalex-snapshot
Rational Points on Curves over Finite Fields
inferredcites →https://doi.org/10.1080/10920277.2001.10595994openalex-snapshot
Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products
inferredcites →https://doi.org/10.1080/135048698334664openalex-snapshot
Good point methods for computing prices and sensitivities of multi-asset European style options
inferredcites →https://doi.org/10.1090/s0002-9904-1978-14532-7openalex-snapshot
Quasi-Monte Carlo methods and pseudo-random numbers
inferredcites →https://doi.org/10.1090/s0025-5718-01-01377-1openalex-snapshot
The error bounds and tractability of quasi-Monte Carlo algorithms in infinite dimension
inferredcites →https://doi.org/10.1090/s0025-5718-02-01420-5openalex-snapshot
On the step-by-step construction of quasi–Monte Carlo integration rules that achieve strong tractability error bounds in weighted Sobolev spaces
inferredcites →https://doi.org/10.1090/s0025-5718-02-01440-0openalex-snapshot
Strong tractability of multivariate integration using quasi–Monte Carlo algorithms
inferredcites →https://doi.org/10.1090/s0025-5718-06-01785-6openalex-snapshot
Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
inferredcites →https://doi.org/10.1090/s0025-5718-98-00894-1openalex-snapshot
A generalized discrepancy and quadrature error bound
inferredcites →https://doi.org/10.1090/s0025-5718-99-01019-4openalex-snapshot
The asymptotic efficiency of randomized nets for quadrature
inferredcites →https://doi.org/10.1093/oso/9780198534723.001.0001openalex-snapshot
Lattice Methods for Multiple Integration
inferredcites →https://doi.org/10.1111/j.1467-9965.2007.00309.xopenalex-snapshot
A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS
inferredcites →https://doi.org/10.1137/0713071openalex-snapshot
Randomization of Number Theoretic Methods for Multiple Integration
inferredcites →https://doi.org/10.1137/1.9781611970081openalex-snapshot
Random Number Generation and Quasi-Monte Carlo Methods
inferredcites →https://doi.org/10.1137/s0036142901393942openalex-snapshot
Constructing Randomly Shifted Lattice Rules in Weighted Sobolev Spaces
inferredcites →https://doi.org/10.1137/s0036142994277468openalex-snapshot
Monte Carlo Variance of Scrambled Net Quadrature
inferredcites →https://doi.org/10.1137/s0036142999358019openalex-snapshot
The Mean Square Discrepancy of Scrambled ( t , s )-Sequences
inferredcites →https://doi.org/10.1137/s1064827503429429openalex-snapshot
Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?
inferredcites →https://doi.org/10.1145/146382.146385openalex-snapshot
Implementation and tests of low-discrepancy sequences
inferredcites →https://doi.org/10.1145/198429.198436openalex-snapshot
Programs to generate Niederreiter's low-discrepancy sequences
inferredcites →https://doi.org/10.1145/22721.356187openalex-snapshot
Algorithm 647: Implementation and Relative Efficiency of Quasirandom Sequence Generators
inferredcites →https://doi.org/10.1145/42288.214372openalex-snapshot
Algorithm 659
inferredcites →https://doi.org/10.1145/779359.779360openalex-snapshot
Algorithm 823
inferredcites →https://doi.org/10.1145/945511.945518openalex-snapshot
Variance with alternative scramblings of digital nets
inferredcites →https://doi.org/10.1198/016214505000001410openalex-snapshot
Estimating Mean Dimensionality of Analysis of Variance Decompositions
inferredcites →https://doi.org/10.1214/aos/1031594731openalex-snapshot
Scrambled net variance for integrals of smooth functions
inferredcites →https://doi.org/10.1287/mnsc.42.6.926openalex-snapshot
Quasi-Monte Carlo Methods in Numerical Finance
inferredcites →https://doi.org/10.21314/jcf.1997.005openalex-snapshot
Valuation of mortgage-backed securities using Brownian bridges to reduce effective dimension
inferredcites →https://doi.org/10.2307/2154922openalex-snapshot
Generalized (t, s)-Sequences, Kronecker-Type Sequences, and Diophantine Approximations of Formal Laurent Series
inferredcites →https://doi.org/10.2307/2288607openalex-snapshot
Methods of Numerical Integration.
inferredcites →https://doi.org/10.2307/2670076openalex-snapshot
Mathematics of Derivative Securities
inferredcites →https://doi.org/10.3905/jpm.1995.409541openalex-snapshot
Faster Valuation of Financial Derivatives
inferredcites →https://doi.org/10.3905/jpm.1999.319698openalex-snapshot
Deterministic Simulation for Risk Management
inferredcites →https://doi.org/10.4064/aa-41-4-337-351openalex-snapshot
Discrépance de suites associées à un système de numération (en dimension s)
inferredcites →https://doi.org/10.4064/aa-73-1-87-102openalex-snapshot
A construction of low-discrepancy sequences using global function fields
inferredcites →https://doi.org/10.4064/aa128-2-8openalex-snapshot
A new construction of (t,s)-sequences and some improved bounds on their quality parameter
inferredcites →https://doi.org/10.4064/aa130-1-5openalex-snapshot
Low-discrepancy sequences using duality and global function fields

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Stochastic Generation of Streamflow Time Series
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Monte Carlo methods for multidimensional integration for European option pricing
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Quasi Random Deployment and Localization in Layered Framework for the Internet of Things
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The Impact of Uncertain Physical Parameters on HVAC Demand Response
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Robust Aircraft Trajectory Planning Under Wind Uncertainty Using Optimal Control
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Optimal Aircraft Trajectory Planning in the Presence of Stochastic Convective Weather Cells
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