Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?
نویسندگان
چکیده
منابع مشابه
Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?
Many problems in mathematical finance can be formulated as highdimensional integrals, where the large number of dimensions arises from small time steps in time discretization and/or a large number of state variables. Quasi-Monte Carlo (QMC) methods have been successfully used for approximating such integrals. To understand this success, this paper focuses on investigating the special features o...
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Problems in many disciplines, such as physics, chemistry, and finance, can be modelled as integrals of high dimensions (hundreds or even thousands). Quasi-Monte Carlo (QMC) methods, which perform sampling using a more uniform point set than that used in MC, have been successfully used to approximate multivariate integrals with an error bound of size O((logN)kN−1) or even O((logN)kN−3/2), where ...
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ژورنال
عنوان ژورنال: SIAM Journal on Scientific Computing
سال: 2005
ISSN: 1064-8275,1095-7197
DOI: 10.1137/s1064827503429429