Quantile mechanics II: changes of variables in Monte Carlo methods and GPU-optimised normal quantiles

DOI10.1017/S0956792513000417zbMath1298.91190arXiv0901.0638OpenAlexW3124920278MaRDI QIDQ2878024

William T. Shaw, Nick Brickman, Thomas Luu

Publication date: 28 August 2014

Published in: European Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0901.0638

zbMATH Keywords

GaussianprobitCUDAcomputational financeinverse CDF

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Exact distribution theory in statistics (62E15) General considerations in statistical decision theory (62C05)

Related Items (2)

Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models ⋮ Efficient and Accurate Parallel Inversion of the Gamma Distribution

Uses Software

• CUDA

Cites Work

• Unnamed Item
• Copulas: Tales and facts (with discussion)
• On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
• Generalized Asymptotic Expansions of Cornish-Fisher Type

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