Fast orthogonal transforms for pricing derivatives with quasi-Monte Carlo

There are a number of situations where, when computing prices of financial derivatives using quasi-Monte Carlo (QMC), it turns out to be beneficial to apply an orthogonal transform to the standard normal input variables. Sometimes those transforms can be computed in time O(nlog(n)) for problems depe...

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Bibliographische Detailangaben

Hauptverfasser:	Irrgeher, C., Leobacher, G.
Format:	Tagungsbericht
Sprache:	eng
Schlagworte:	Bridges Computational modeling Linear approximation Principal component analysis Transforms Vectors
Online-Zugang:	Volltext bestellen
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