The use of stochastic collocation for sampling from expensive distributions with applications in finance
The pricing of financial derivatives using numerical methods often requires sampling from expensive distributions. These are distributions with inverse cumulative distribution functions that are difficult to evaluate, thus requiring significant computation time. To mitigate this, Grzelak et al. (201...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2016
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| Online Access: | http://hdl.handle.net/11427/20998 |