Browsing Theses by Subject "QMC"
Now showing items 1-2 of 2
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Directional Control of Generating Brownian Path under Quasi Monte Carlo
(University of Waterloo, 2012-09-10)Quasi-Monte Carlo (QMC) methods are playing an increasingly important role in computational finance. This is attributed to the increased complexity of the derivative securities and the sophistication of the financial models. ... -
Effective Dimensionality Control in Quantitative Finance and Insurance
(University of Waterloo, 2017-09-06)It is well-known that dimension reduction techniques such as the Brownian bridge, principal component analysis, linear transformation could increase the efficiency of Quasi-Monte Carlo (QMC) methods. Caflisch et al. (1997), ...