Now showing items 1-2 of 2
Dependence concepts and selection criteria for lattice rules
(University of Waterloo, 2014-01-24)
Lemieux recently proposed a new approach that studies randomized quasi-Monte Carlothrough dependency concepts. By analyzing the dependency structure of a rank-1 lattice,Lemieux proposed a copula-based criterion with which ...
Importance Sampling and Stratification Techniques for Multivariate Models with Low-Dimentional Structures
(University of Waterloo, 2017-12-22)
Many problems in finance and risk management involve the computation of quantities related to rare-event analysis. As many financial problems are high-dimensional, the quan- tities of interest rarely have analytical forms ...