London
United Kingdom
Investec Bank
Quasi Monte Carlo, Randomized Quasi Monte Carlo, Sobol sequences, Monte Carlo option pricing, Skew hyperbolic local volatility model
FX Open Forward, American derivative, optimal stopping, free-boundary problem JEL classification: D81, F31, G12
Quasi-Monte Carlo (QMC), Randomized Quasi-Monte Carlo (RQMC), Sobol sequences, Skew hyperbolic local volatility (HLV) model, Principal component analysis (PCA), Sobol' indices, Effective dimensions, option pricing
R-Functions, Discontinuous Payoffs, Greeks, Randomised Quasi Monte Carlo
