Monte Carlo scalable algorithms for Computational Finance
✍ Scribed by V.N. Alexandrov; Christian González Martel; J. Straßburg
- Book ID
- 108255609
- Publisher
- Elsevier
- Year
- 2011
- Tongue
- English
- Weight
- 329 KB
- Volume
- 4
- Category
- Article
- ISSN
- 1877-0509
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
I give a pedagogical introduction to the generalised Hybrid Monte Carlo and related algorithms. I shall explain why they work, how their performance depends upon the number of degrees of freedom and the correlation length, and how they can be tuned to reduce critical slowing down.
The performance of the standard Monte Carlo method is compared with the performance obtained through the use of tY mY s-nets in base b in the approximation of several high dimensional integral problems in valuing derivatives and other securities. The tY mY s-nets are generated by a parallel algorith