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

Institute of Financial Mathematics and Applied Number Theory

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	95-130
Number of pages	36
Journal	Surveys on Mathematics for Industry
Volume	11
Publication status	Published - 2005

Fields of science

101 Mathematics
101007 Financial mathematics
101019 Stochastics
101025 Number theory

Cite this

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title = "Quasi-Monte Carlo and Monte Carlo methods and their applications in finance",

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.",

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year = "2005",

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journal = "Surveys on Mathematics for Industry",

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