Quasi-Monte Carlo in finance: extending for problems of high effective dimension

Quasi-Monte Carlo in finance: extending for problems of high effective dimension

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In this paper we show that it is possible to extend the use of quasi-Monte Carlo for applications of high effective dimension. This is achieved through a combination of a careful construction of the Sobol sequence and an appropriately chosen decomposition of a covariance matrix. The effectiveness of...

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Bibliographic Details
Main Authors: Marcos Eugênio da Silva, Thierry Barbe
Format: Article
Language:Portuguese
Published: Universidade de São Paulo 2005-12-01
Series:Economia Aplicada
Subjects:
quase-Monte Carlo
baixa discrepância
Sobol
dimensão efetiva
seqüências deterministas
quasi-Monte Carlo
low-discrepancy
effective dimension
deterministic sequences
Online Access:http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1413-80502005000400004

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http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1413-80502005000400004

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