Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 5 of 5 for “"Quasi-Monte Carlo methods"”.
-
Constructive approaches to quasi-Monte Carlo methods for multiple integration
Recently, quasi-Monte Carlo methods have been successfully used for approximating multiple integrals in hundreds of dimensions in mathematical finance, and were significantly more efficient than Monte Carlo methods. To understand the apparent success of quasi-Monte Carlo methods for multiple …
-
Construction of lattice rules for multiple integration based on a weighted discrepancy
… multidimensional integrals, one may use Monte Carlo methods in which the quadrature points are generated randomly or quasi-Monte Carlo methods, in which points are generated deterministically. One particular class of quasi-Monte Carlo methods for multivariate integration is represented by …
-
Modeling and quasi-Monte Carlo simulation of risk in credit portfolios
… recovery values, or position sizes, Monte Carlo methods are necessary to capture their underlying dynamic evolutions. Since the feasibility of the Monte Carlo methods is limited by their relatively slow convergence rate, methods to improve the efficiency of simulations for credit …
-
Pricing swaptions on amortising swaps
… two-factor affine model. The efficacy of the two methods was tested by making a comparison with the prices generated using Monte Carlo methods. Two methods were used to accelerate the convergence rate of the Monte Carlo model, a variance reduction method, namely the control variates technique and …
-
Various Approximate Methods to Measure the Uniformity of Quasirandom Sequences
In many Monte Carlo applications, one can substitute the use of pseudorandom numbers with quasirandom numbers and achieve improved convergence. This is because quasirandom numbers are more uniform than pseudorandom numbers. The most common measure of that uniformity is the star discrepancy. In …