Closedhttp://hdl.handle.net/10453/1492015-09-04T20:24:22Z2015-09-04T20:24:22ZQuasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approachBaldeaux, JanChan, Leung LungPlaten, Eckhardhttp://hdl.handle.net/10453/190622014-10-10T15:37:27Z2011-01-01T00:00:00ZQuasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach
Baldeaux, Jan; Chan, Leung Lung; Platen, Eckhard
William McLean and Anthony John Roberts
We apply quasi-Monte Carlo methods to the pricing of derivatives on realised variance of an index under the benchmark approach. The resulting integration problem is shown to depend on the joint density of the realised variance of the index and t he terminal value of the index. Employing a transformation mapping for this joint density to the unit square reduces the difficulty of the resulting integration problem. The quasi-Monte Carlo methods compare favourably to Monte Carlo methods when applied to the given problem.
2011-01-01T00:00:00ZQuasi-Monte Carlo for finance beyond Black-ScholesBaldeaux, Janhttp://hdl.handle.net/10453/172722014-10-10T15:35:00Z2008-01-01T00:00:00ZQuasi-Monte Carlo for finance beyond Black-Scholes
Baldeaux, Jan
Chang, J. L. C. et al
Quasi-Monte Carlo methods are used to approximate integrals of high dimensionality. However, if the problem under consideration is of unbounded dimensionality, it is not obvious if one can apply quasi-Monte Carlo methods at all. We introduce a hybrid approach combining quasi-Monte Carlo and Monte Carlo methods and apply it to a finance problem of unbounded dimensionality. We find that this hybrid approach improves on a Monte Carlo approach.
2008-01-01T00:00:00ZEnhancing learning using generic and specific aspects of knowledge formationPetocz, PeterReid, Annahttp://hdl.handle.net/10453/66522014-11-21T17:25:44Z2002-01-01T00:00:00ZEnhancing learning using generic and specific aspects of knowledge formation
Petocz, Peter; Reid, Anna
Goody A; Ingram D
2002-01-01T00:00:00ZHow students experience learning statistics and teachingPetocz, PeterReid, Annahttp://hdl.handle.net/10453/66332014-11-21T17:25:45Z2002-01-01T00:00:00ZHow students experience learning statistics and teaching
Petocz, Peter; Reid, Anna
Phillips B
2002-01-01T00:00:00Z