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Some of the material in is restricted to members of the community. By logging in, you may be able to gain additional access to certain collections or items. If you have questions about access or logging in, please use the form on the Contact Page.
In this dissertation, we evaluate existing Monte Carlo estimators and develop new Monte Carlo estimators for pricing financial options with the goal of improving precision. In Chapter 2, we discuss the conditional expectation Monte Carlo...
The objective of this work is to quantify uncertainty and perform global sensitivity analysis for nonlinear models with a moderate or large number of stochastic parameters. We implement non-intrusive methods that do not require...
In this dissertation, we discuss the generation of low discrepancy sequences, randomization of these sequences, and the transformation methods to generate normally distributed random variables. Two well known methods for generating...
Many computational finance problems can be classified into two categories: estimation and prediction. In estimation, one starts with a probability model and expresses the quantity of interest as an expected value or a probability of an...
Some of the material in is restricted to members of the community. By logging in, you may be able to gain additional access to certain collections or items. If you have questions about access or logging in, please use the form on the Contact Page.
