Efficient randomized quasi-Monte Carlo methods for portfolio market risk
نویسندگان
چکیده
منابع مشابه
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We consider the problem of numerical integration in dimension s, with eventually large s; the usual rules need a very huge number of nodes with increasing dimension to obtain some accuracy, say an error bound less than 10−2; this phenomenon is called ”the curse of dimensionality”; to overcome it, two kind of methods have been developped: the so-called Monte-Carlo and Quasi-Monte-Carlo methods. ...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2017
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2017.07.001