Quasi-Monte Carlo Methods and Monte Carlo Methods (häftad)

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Matematik

Format: Häftad (Paperback / softback)
Språk: Engelska
Antal sidor: 64
Utgivningsdatum: 2014-06-17
Förlag: AV Akademikerverlag
Illustrationer: black & white illustrations
Dimensioner: 220 x 150 x 5 mm
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Antal komponenter: 1
Komponenter: Paperback
ISBN: 9783639493856

Quasi-Monte Carlo Methods and Monte Carlo Methods

Name: Quasi-Monte Carlo Methods and Monte Carlo Methods
Price: 508.00 SEK
Availability: InStock
Author: Sabine Schwandegger
ISBN: 9783639493856

in the Valuation of Swaps

av Sabine Schwandegger

Häftad, Engelska, 2014-06-17

508

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The first part gives a little insight into a special part of the number theory, namely, Quasi-Monte Carlo method and in the course of this introduces fundamental knowledge about discrepancy of point sequences. An illustrative proof of a famous result concerning the lower bound of the star discrepancy of sequences in [0,1) is presented. Furthermore an improvement of this bound is presented and analysed. In the second part focus on the valuation af an interest rate swap. The required theory and one special approach to carry out the valuation is presented. During this, the method of Monte Carlo simulation is used.

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