Fast orthogonal transforms and generation of Brownian paths

Authors:
Gunther Leobacher
Affiliations:
-
Venue:
Journal of Complexity
Year:
2012

Citing 10
Cited 1

Adapted wavelet analysis from theory to software

Adapted wavelet analysis from theory to software
A new kind of science

A new kind of science
The Brownian bridge does not offer a consistent advantage in Quasi-Monte Carlo integration

Journal of Complexity
On the tractability of the Brownian bridge algorithm

Journal of Complexity
Efficient Monte Carlo and Quasi--Monte Carlo Option Pricing Under the Variance Gamma Model

Management Science
Complexity and effective dimension of discrete Lévy areas

Journal of Complexity
Unified Matrix Treatment of the Fast Walsh-Hadamard Transform

IEEE Transactions on Computers
Digital Nets and Sequences: Discrepancy Theory and Quasi-Monte Carlo Integration

Digital Nets and Sequences: Discrepancy Theory and Quasi-Monte Carlo Integration
Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction

Operations Research
Smoothness and dimension reduction in Quasi-Monte Carlo methods

Mathematical and Computer Modelling: An International Journal

Fast orthogonal transforms for pricing derivatives with quasi-Monte Carlo

Proceedings of the Winter Simulation Conference

Quantified Score

Hi-index	0.00

Visualization

Abstract

We present a number of fast constructions of discrete Brownian paths that can be used as alternatives to principal component analysis and Brownian bridge for stratified Monte Carlo and quasi-Monte Carlo. By fast we mean that a path of length n can be generated in O(nlog(n)) floating point operations. We highlight some of the connections between the different constructions and we provide some numerical examples.