activity
20152026
most citedExploring multi-dimensional spaces: a Comparison of Latin Hypercube and Quasi Monte Carlo Sampling Techniques

118 citations · 169 across the 13 of their papers we have counts for

collaborators
Showing q-fin.RMShow all

1 paper · 1 filter

q-fin.RM2015★ 2 cited

Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis

Marco Bianchetti, Sergei Kucherenko, Stefano Scoleri

We review and apply Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques to pricing and risk management (greeks) of representative financial instruments of incr…