Quasi-Monte Carlo methods with applications in finance (Q964676)

The paper contains a review of the basic principles of quasi-Monte Carlo methods (QMC). Using QMC, one replaces the independent random points by a set of deterministic points covering the unit hypercube more evenly (uniformly) than a typical set of random points. The randomizations that turn QMC into variance-reduction techniques, the integration errors and variance bounds obtained in terms of QMC point set discrepancy and variation of the integrand and the main classes of point set constructions are also studied. Examples are presented as well as computational results that illustrate the efficiency improvement achieved. The paper is targeted at those who already know Monte Carlo methods and their application in finance and want an update of the state of the art on quasi-Monte Carlo methods.