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Quasi-Monte Carlo methods with applications in finance

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  • Pierre L’Ecuyer

Abstract

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Suggested Citation

  • Pierre L’Ecuyer, 2009. "Quasi-Monte Carlo methods with applications in finance," Finance and Stochastics, Springer, vol. 13(3), pages 307-349, September.
    • Handle: RePEc:spr:finsto:v:13:y:2009:i:3:p:307-349
    DOI: 10.1007/s00780-009-0095-y
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    References listed on IDEAS

    as
    1. Tuffin Bruno, 1996. "On the use of low discrepancy sequences in Monte Carlo methods," Monte Carlo Methods and Applications, De Gruyter, vol. 2(4), pages 295-320, December.
    2. Liu, Ruixue & Owen, Art B., 2006. "Estimating Mean Dimensionality of Analysis of Variance Decompositions," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 712-721, June.
    3. Xiaoqun Wang, 2006. "On the Effects of Dimension Reduction Techniques on Some High-Dimensional Problems in Finance," Operations Research, INFORMS, vol. 54(6), pages 1063-1078, December.
    4. Pierre L’Ecuyer & Christiane Lemieux, 2002. "Recent Advances in Randomized Quasi-Monte Carlo Methods," International Series in Operations Research & Management Science, in: Moshe Dror & Pierre L’Ecuyer & Ferenc Szidarovszky (ed.), Modeling Uncertainty, chapter 0, pages 419-474, Springer.
    5. Phelim Boyle & Yongzeng Lai & Ken Seng Tan, 2005. "Pricing Options Using Lattice Rules," North American Actuarial Journal, Taylor & Francis Journals, vol. 9(3), pages 50-76.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. N. Hilber & N. Reich & C. Schwab & C. Winter, 2009. "Numerical methods for Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 471-500, September.
    2. Munger, D. & L’Ecuyer, P. & Bastin, F. & Cirillo, C. & Tuffin, B., 2012. "Estimation of the mixed logit likelihood function by randomized quasi-Monte Carlo," Transportation Research Part B: Methodological, Elsevier, vol. 46(2), pages 305-320.

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    More about this item

    Keywords

    Monte Carlo; Quasi-Monte Carlo; Variance reduction; Effective dimension; Discrepancy; Hilbert spaces; 65C05; 68U20; 91B28; C15; C63;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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