Optimization in quasi-Monte Carlo methods for derivative valuation
Computational complexity in financial theory and practice has seen an immense rise recently. Monte Carlo simulation has proved to be a robust and adaptable approach, well suited for supplying numerical solutions to a large class of complex problems. Although Monte Carlo simulation has been widely ap...
| Main Author: | |
|---|---|
| Published: |
Imperial College London
2011
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.504753 |