Jeroen Witteveen

Center for Mathematics and Computer Science (CWI)

P.O. Box 94079

Amsterdam, NL-1090 GB

Netherlands

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Scholarly Papers (1)

1.

The Stochastic Collocation Monte Carlo Sampler: Highly Efficient Sampling from 'Expensive' Distributions

Quantitative Finance, 2018, Forthcoming
Number of pages: 25 Posted: 24 Nov 2014 Last Revised: 13 May 2018
Delft University of Technology, Center for Mathematics and Computer Science (CWI), University of Coruña and Utrecht University - Faculty of Science
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Citation 8

Abstract:

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Exact Sampling, Heston, Squared Bessel, SABR, Stochastic Collocation, Lagrange Interpolation, Monte Carlo