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