In:
COSMOS, World Scientific Pub Co Pte Ltd, Vol. 01, No. 01 ( 2005-05), p. 113-125
Abstract:
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.
Type of Medium:
Online Resource
ISSN:
0219-6077
,
1793-7051
DOI:
10.1142/S0219607705000097
Language:
English
Publisher:
World Scientific Pub Co Pte Ltd
Publication Date:
2005
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