United Kingdom
Imperial College London - Faculty of Engineering
Monte Carlo, Quasi-Monte-Carlo, option pricing, derivative pricing, GPU computing, GPGPU, CUDA
derivative, option, European, Asian, barrier, knock-out, cliquet, greeks, Brownian bridge, global sensitivity analysis, Monte Carlo, Quasi Monte Carlo, random, pseudo random, quasi random, low discrepancy, Sobol', convergence, speed-up
derivative, option, European, Asian, barrier, knock-out, cliquet, greeks, Monte Carlo, Quasi Monte Carlo, random, pseudo random, quasi random, low discrepancy, Sobol', convergence, speed-up, Brownian bridge, global sensitivity analysis, principal component analysis, AAD
Greeks, financial risk management, Global sensitivity analysis, Quasi Monte Carlo, randomized Quasi Monte Carlo, Chebychev interpolation, effective dimensions JEL classification: C63, G12, G13
R-Functions, Discontinuous Payoffs, Greeks, Randomised Quasi Monte Carlo
Design Space, R-functions, Multivariate Polynomial Model, Pharmaceutical Manufacturing
Design Space, Probability map, Multi stage systems
Flexibility analysis, Design Space, R-functions, Pharmaceutical Manufacturing
