7 citations · 25 across the 14 of their papers we have counts for
5 papers · 1 filter
An integrated quasi-Monte Carlo method for handling high dimensional problems with discontinuities in financial engineering
Zhijian He, Xiaoqun Wang
Quasi-Monte Carlo (QMC) method is a useful numerical tool for pricing and hedging of complex financial derivatives. These problems are usually of high dimensionality and discontinu…
On the error rate of conditional quasi-Monte Carlo for discontinuous functions
Zhijian He
This paper studies the rate of convergence for conditional quasi-Monte Carlo (QMC), which is a counterpart of conditional Monte Carlo. We focus on discontinuous integrands defined…
Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall
Zhijian He, Xiaoqun Wang
Quantiles and expected shortfalls are usually used to measure risks of stochastic systems, which are often estimated by Monte Carlo methods. This paper focuses on the use of quasi-…
Asymptotic Normality of Extensible Grid Sampling
Zhijian He, Lingjiong Zhu
Recently, He and Owen (2016) proposed the use of Hilbert's space filling curve (HSFC) in numerical integration as a way of reducing the dimension from to . This paper st…
Quasi-Monte Carlo for discontinuous integrands with singularities along the boundary of the unit cube
Zhijian He
This paper studies randomized quasi-Monte Carlo (QMC) sampling for discontinuous integrands having singularities along the boundary of the unit cube . Both discontinuities…