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Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance

  • Published:2021-01 Issue:1 Volume:43 Page:B1-B29
  • ISSN:1064-8275
  • Container-title:SIAM Journal on Scientific Computing
  • language:en
  • Short-container-title:SIAM J. Sci. Comput.

Author:

Zhang Chaojun,Wang Xiaoqun,He Zhijian

Funder

Fundamental Research Funds for the Central Universities

National Key Research and Development Program of China Stem Cell and Translational Research

National Natural Science Foundation of China

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Computational Mathematics

Cited by 6 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Improved Monte Carlo techniques for distributed generation impact evaluation;Electrical Engineering;2024-05-09

2. Randomly Shifted Lattice Rules with Importance Sampling and Applications;Mathematics;2024-02-21

3. Stochastic Robust Control of Hypersonic Vehicle Based on Quasi-random Sampling;2023 IEEE 18th Conference on Industrial Electronics and Applications (ICIEA);2023-08-18

4. Adaptive Importance Sampling and Quasi-Monte Carlo Methods for 6G URLLC Systems;ICC 2023 - IEEE International Conference on Communications;2023-05-28

5. On the Error Rate of Importance Sampling with Randomized Quasi-Monte Carlo;SIAM Journal on Numerical Analysis;2023-03-10
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