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S Kucherenko

BRODA Ltd

SCHOLARLY PAPERS

2

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428

TOTAL CITATIONS

1

Scholarly Papers (2)

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1.

The Importance of Being Scrambled: Supercharged Quasi Monte Carlo

Journal of Risk, Vol 26, Number 1, 2023
Number of pages: 19 Posted: 04 Dec 2022 Last Revised: 20 Oct 2023
J Hok and S Kucherenko
Investec Bank and BRODA Ltd
Downloads 325 (232,793)
Citation 1

Abstract:

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Quasi Monte Carlo, Randomized Quasi Monte Carlo, Sobol sequences, Monte Carlo option pricing, Skew hyperbolic local volatility model

2.

The unreasonable effectiveness of Randomized Quasi-Monte Carlo in option pricing and risk analysis

Number of pages: 21 Posted: 28 May 2025
J Hok and S Kucherenko
Investec Bank and BRODA Ltd
Downloads 103 (777,583)

Abstract:

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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