Quasi-Monte Carlo Methods - Applications in Finance and Actuarial Science by Ken Seng Tan A PhD thesis of the University of Waterloo in 1998
This thesis explores the application of quasi-Monte Carlo methods in fiannce and actuarial science. A common application of this method is the evaluation of multi-diemsional inegrals. Selected deterministic sequences rather than random sequences is used.
Contents
1. Overview
2. Monte Carlo and Quasi-Monte Carlo Methods
3. Low Discrepancy Sequences
4. Randomization Techniques
5. Smoothing Discontinuiities
6. Lattice Points Methods
7. Efficient Techniques ofr Simulating Through Trees
8. Summary and Future Research
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