Mohammadreza Mohammadi

University of Toronto - Department of Statistics

100 St. George St.

Toronto, Ontario M5S 3G3

Canada

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Scholarly Papers (1)

1.

Dimension and Variance Reduction for Monte Carlo Methods for High-Dimensional Models in Finance

Number of pages: 27 Posted: 21 Jan 2015 Last Revised: 13 Dec 2015
Duy-Minh Dang, Kenneth R. Jackson and Mohammadreza Mohammadi
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Toronto - Department of Statistics
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Abstract:

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conditional Monte Carlo, variance reduction, dimension reduction, cross-currency, Fourier transform, partial differential equations