Browsing Theses by Author "Taniguchi, Yoshihiro"
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Dependence concepts and selection criteria for lattice rules
Taniguchi, Yoshihiro (University of Waterloo, 2014-01-24)Lemieux recently proposed a new approach that studies randomized quasi-Monte Carlothrough dependency concepts. By analyzing the dependency structure of a rank-1 lattice,Lemieux proposed a copula-based criterion with which ... -
Importance Sampling and Stratification Techniques for Multivariate Models with Low-Dimentional Structures
Taniguchi, Yoshihiro (University of Waterloo, 2017-12-22)Many problems in finance and risk management involve the computation of quantities related to rare-event analysis. As many financial problems are high-dimensional, the quan- tities of interest rarely have analytical forms ...