Mathematics – Numerical Analysis
Scientist
Mathematics
Numerical Analysis
Scientist
A Construction of Polynomial Lattice Rules with Small Gain Coefficients
Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods
Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
Efficient calculation of the worst-case error and (fast) component-by-component construction of higher order polynomial lattice rules
Exact Simulation of the 3/2 Model
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