308 citations · 322 across the 8 of their papers we have counts for
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q-fin.CP2012★ 2 cited
Quantile Mechanics 3: Series Representations and Approximation of some Quantile Functions appearing in Finance
Asad Munir, William Shaw
It has long been agreed by academics that the inversion method is the method of choice for generating random variates, given the availability of the quantile function. However for…
q-fin.CP2009★ 6 cited
Monte Carlo sampling given a Characteristic Function: Quantile Mechanics in Momentum Space
William T. Shaw, Jonathan McCabe
In mathematical finance and other applications of stochastic processes, it is frequently the case that the characteristic function may be known but explicit forms for density funct…
q-fin.CP2009★ 1 cited
Quantile Mechanics II: Changes of Variables in Monte Carlo methods and GPU-Optimized Normal Quantiles
William T. Shaw, Thomas Luu, Nick Brickman
This article presents differential equations and solution methods for the functions of the form , where and are cumulative distribution functions. Such…