26 citations · 36 across the 9 of their papers we have counts for
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math.NA2017
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…
math.NA2017★ 7 cited
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-…