24 citations · 63 across the 7 of their papers we have counts for
7 papers
Error bounds for function approximation using generated sets
Ronald Cools, Dirk Nuyens, Laurence Wilkes
This paper explores the use of "generated sets" for function approximation in reproducing kernel Hilbert spaces which consist of mul…
Fast component-by-component construction of lattice algorithms for multivariate approximation with POD and SPOD weights
Ronald Cools, Frances Y. Kuo, Dirk Nuyens +1
In a recent paper by the same authors, we provided a theoretical foundation for the component-by-component (CBC) construction of lattice algorithms for multivariate approxima…
Lattice algorithms for multivariate approximation in periodic spaces with general weight parameters
Ronald Cools, Frances Y. Kuo, Dirk Nuyens +1
This paper provides the theoretical foundation for the construction of lattice algorithms for multivariate approximation in the worst case setting, for functions in a periodi…
The analysis of vertex modified lattice rules in a non-periodic Sobolev space
Dirk Nuyens, Ronald Cools
In a series of papers, in 1993, 1994 & 1996, Sloan & Niederreiter introduced a modification of lattice rules for non-periodic functions, called "vertex modified lattice rules"', an…
Tent-transformed lattice rules for integration and approximation of multivariate non-periodic functions
Ronald Cools, Frances Y. Kuo, Dirk Nuyens +1
We develop algorithms for multivariate integration and approximation in the weighted half-period cosine space of smooth non-periodic functions. We use specially constructed tent-tr…
Conditional sampling for barrier option pricing under the Heston model
Nico Achtsis, Ronald Cools, Dirk Nuyens
We propose a quasi-Monte Carlo algorithm for pricing knock-out and knock-in barrier options under the Heston (1993) stochastic volatility model. This is done by modifying the LT me…
Conditional sampling for barrier option pricing under the LT method
Nico Achtsis, Ronald Cools, Dirk Nuyens
We develop a conditional sampling scheme for pricing knock-out barrier options under the Linear Transformations (LT) algorithm from Imai and Tan (2006). We compare our new method t…