118 citations · 119 across the 3 of their papers we have counts for
3 papers
q-fin.CP2022★ 1 cited
Quasi-Monte Carlo methods for calculating derivatives sensitivities on the GPU
Paul Bilokon, Sergei Kucherenko, Casey Williams
The calculation of option Greeks is vital for risk management. Traditional pathwise and finite-difference methods work poorly for higher-order Greeks and options with discontinuous…
q-fin.CP2021
Pricing and Risk Analysis in Hyperbolic Local Volatility Model with Quasi Monte Carlo
Julien Hok, Sergei Kucherenko
Local volatility models usually capture the surface of implied volatilities more accurately than other approaches, such as stochastic volatility models. We present the results of a…
stat.AP2015★ 118 cited
Exploring multi-dimensional spaces: a Comparison of Latin Hypercube and Quasi Monte Carlo Sampling Techniques
Sergei Kucherenko, Daniel Albrecht, Andrea Saltelli
Three sampling methods are compared for efficiency on a number of test problems of various complexity for which analytic quadratures are available. The methods compared are Monte C…