4. Mathematics
  5. Numerical Analysis

Dirk Nuyens

Mathematics – Numerical Analysis

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Conditional sampling for barrier option pricing under the LT method

Economy – Quantitative Finance – Computational Finance
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Efficient calculation of the worst-case error and (fast) component-by-component construction of higher order polynomial lattice rules

Mathematics – Numerical Analysis
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Profile ID: LFWR-SCP-P-59534

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