scholarly journals From Finance to Flip Flops: A Study of Fast Quasi-Monte Carlo Methods from Computational Finance Applied to Statistical Circuit Analysis

2007 ◽  
Author(s):  
Amith Singhee ◽  
Rob A. Rutenbar
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Methods ◽  
Circuit Analysis ◽  
Computational Finance ◽  
Quasi Monte Carlo

QUASI-MONTE CARLO METHODS IN COMPUTATIONAL FINANCE

COSMOS ◽  
2005 ◽  
Vol 01 (01) ◽  
pp. 113-125
Author(s):  
HARALD NIEDERREITER
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Monte Carlo Methods ◽  
Scientific Computing ◽  
Computational Finance ◽  
Quasi Monte Carlo ◽  
Random Samples ◽  
Mortgage Backed Securities

Quasi-Monte Carlo methods are deterministic versions of Monte Carlo methods, in the sense that the random samples used in the implementation of a Monte Carlo method are replaced by judiciously chosen deterministic points with good distribution properties. They outperform classical Monte Carlo methods in many problems of scientific computing. This paper discusses applications of quasi-Monte Carlo methods to computational finance, with a special emphasis on the problems of pricing mortgage-backed securities and options. The necessary background on Monte Carlo and quasi-Monte Carlo methods is also provided.

scholarly journals Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems

2017 ◽  
Vol 86 (308) ◽  
pp. 2827-2860 ◽  
Author(s):  
Frances Y. Kuo ◽  
Robert Scheichl ◽  
Christoph Schwab ◽  
Ian H. Sloan ◽  
Elisabeth Ullmann
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Methods ◽  
Quasi Monte Carlo ◽  
Diffusion Problems
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