Czupryna, Marcin Market makers activity: behavioural and agent based approach. (English) Zbl 07597434 CEJOR, Cent. Eur. J. Oper. Res. 30, No. 1, 303-322 (2022). MSC: 90Bxx PDFBibTeX XMLCite \textit{M. Czupryna}, CEJOR, Cent. Eur. J. Oper. Res. 30, No. 1, 303--322 (2022; Zbl 07597434) Full Text: DOI
Shinozaki, Yuji Efficient simulation methods for the quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme. (English) Zbl 1479.91447 Quant. Finance 21, No. 7, 1147-1161 (2021). MSC: 91G60 65M99 91G20 91G30 PDFBibTeX XMLCite \textit{Y. Shinozaki}, Quant. Finance 21, No. 7, 1147--1161 (2021; Zbl 1479.91447) Full Text: DOI
Harase, Shin Comparison of Sobol’ sequences in financial applications. (English) Zbl 07061109 Monte Carlo Methods Appl. 25, No. 1, 61-74 (2019). MSC: 65C05 65D30 65C10 PDFBibTeX XMLCite \textit{S. Harase}, Monte Carlo Methods Appl. 25, No. 1, 61--74 (2019; Zbl 07061109) Full Text: DOI arXiv
Shinozaki, Yuji Construction of a third-order K-scheme and its application to financial models. (English) Zbl 1407.91274 SIAM J. Financ. Math. 8, 901-932 (2017). MSC: 91G60 60H35 65C20 65C30 65C05 62P05 60H07 PDFBibTeX XMLCite \textit{Y. Shinozaki}, SIAM J. Financ. Math. 8, 901--932 (2017; Zbl 1407.91274) Full Text: DOI
Korn, Ralf; Korn, Elke; Kroisandt, Gerald Monte Carlo methods and models in finance and insurance. (English) Zbl 1196.91006 Chapman & Hall/CRC Financial Mathematics Series. Boca Raton, FL: CRC Press (ISBN 978-1-4200-7618-9/hbk; 978-1-032-47769-5/pbk; 978-1-4200-7619-6/ebook). xiii, 470 p. (2010). Reviewer: Jaromir Antoch (Praha) MSC: 91-02 65-02 65C05 91G60 PDFBibTeX XMLCite \textit{R. Korn} et al., Monte Carlo methods and models in finance and insurance. Boca Raton, FL: CRC Press (2010; Zbl 1196.91006) Full Text: DOI
L’Ecuyer, Pierre Quasi-Monte Carlo methods with applications in finance. (English) Zbl 1199.65004 Finance Stoch. 13, No. 3, 307-349 (2009). Reviewer: Yuliya Mishura (Kyïv) MSC: 65C05 91G60 PDFBibTeX XMLCite \textit{P. L'Ecuyer}, Finance Stoch. 13, No. 3, 307--349 (2009; Zbl 1199.65004) Full Text: DOI
Stummer, Christian; Sun, Minghe MOAQ and ant-Q algorithm for multiple objective optimization problems. (English) Zbl 1122.91337 J. Heuristics 11, No. 3, 183-199 (2005). MSC: 91B28 90C29 90C27 90C59 PDFBibTeX XMLCite \textit{C. Stummer} and \textit{M. Sun}, J. Heuristics 11, No. 3, 183--199 (2005; Zbl 1122.91337) Full Text: DOI
Gülpınar, Nalan; Rustem, Berç; Settergren, Reuben Simulation and optimization approaches to scenario tree generation. (English) Zbl 1200.91280 J. Econ. Dyn. Control 28, No. 7, 1291-1315 (2004). MSC: 91G10 90C90 91G60 PDFBibTeX XMLCite \textit{N. Gülpınar} et al., J. Econ. Dyn. Control 28, No. 7, 1291--1315 (2004; Zbl 1200.91280) Full Text: DOI
Severino, J. S.; Allen, E. J.; Victory, H. D. jun. Acceleration of quasi-Monte Carlo approximations with applications in mathematical finance. (English) Zbl 1078.65518 Appl. Math. Comput. 148, No. 1, 173-187 (2004). MSC: 65C05 91G60 PDFBibTeX XMLCite \textit{J. S. Severino} et al., Appl. Math. Comput. 148, No. 1, 173--187 (2004; Zbl 1078.65518) Full Text: DOI