Computing High Dimensional Integrals with Applications to Finance

@inproceedings{Paskov1994ComputingHD,
  title={Computing High Dimensional Integrals with Applications to Finance},
  author={Spassimir H. Paskov},
  year={1994}
}
High-dimensional integrals are usually solved with Monte Carlo algorithms although theory suggests that low discrepancy algorithms are sometimes superior. We report on numerical testing which compares low discrepancy and Monte Carlo algorithms on the evaluation of nancial derivatives. The testing is performed on a Collateralized Mortgage Obligation (CMO) which is formulated as the computation of ten integrals of dimension up to 360. We tested two low discrepancy algorithms (Sobol and Halton… CONTINUE READING
Highly Cited
This paper has 19 citations. REVIEW CITATIONS

References

Publications referenced by this paper.
Showing 1-10 of 34 references

Random NumberGeneration and Quasi-Monte Carlo Methods, CBMS- NSF,63

H. Niederreiter
SIAM, Philadelphia, • 1992
View 9 Excerpts
Highly Influenced

Numerical Recipes in C, First Edition

W. Press, S Teukolsky, W. Vetterling, B. Flannery
1988
View 7 Excerpts
Highly Influenced

Monte Carlo Methods, Volume I

M. H. Kalos, P. A. Whitlock
1986
View 5 Excerpts
Highly Influenced

An Economic Method of Computing LP -sequences, USSR

I. A. Antonov, V. M. Saleev
Computational Mathematics and Mathematical Physics, • 1979
View 6 Excerpts
Highly Influenced

On irregularities of distribution, Mathematika

K. F. Roth
1954
View 4 Excerpts
Highly Influenced

A Generalization of Faure Sequences and its E cient Implementation, Technical Report

Tezuka, Shu
IBM Research, • 1994
View 1 Excerpt

Similar Papers

Loading similar papers…