Enhancing quasi-Monte Carlo methods by exploiting additive approximation for problems in finance (Q2882790)
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scientific article; zbMATH DE number 6031497
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Enhancing quasi-Monte Carlo methods by exploiting additive approximation for problems in finance |
scientific article; zbMATH DE number 6031497 |
Statements
7 May 2012
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quasi-Monte Carlo methods
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computational finance
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high-dimensional model representation
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importance sampling
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control variates
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Brownian Bridge
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principal component analysis
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Enhancing quasi-Monte Carlo methods by exploiting additive approximation for problems in finance (English)
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