Quasi-Monte Carlo and Monte Carlo methods and their applications in finance

Gerhard Larcher; Gunther Leobacher

Quasi-Monte Carlo and Monte Carlo methods and their applications in finance

Gerhard Larcher
, Gunther Leobacher

Institut für Finanzmathematik und Angewandte Zahlentheorie

Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

Abstract

We give an introduction to and a survey on the use of Quasi-Monte Carlo and of Monte Carlo methods especially in option pricing and in risk management. We concentrate on new techniques from the Quasi-Monte Carlo theory.

Originalsprache	Englisch
Seiten (von - bis)	95-130
Seitenumfang	36
Fachzeitschrift	Surveys on Mathematics for Industry
Volume	11
Publikationsstatus	Veröffentlicht - 2005

Wissenschaftszweige

101 Mathematik
101007 Finanzmathematik
101019 Stochastik
101025 Zahlentheorie

Dieses zitieren

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