Quasi-Random number sequences
Posted: November 21st, 2005, 2:48 pm
I need two papers for a high-dimensional Sobol RNG implementation and QMC simulation I am writing, actually translating, into MatLab code from C++ (Quantlib implementation), but I am short two papers.If anyone has these papers it would be extremely helpful if you could send them to me. "Algorithm 647: Implementation and Relative Efficiency of Quasirandom Sequence Generators" - Brately, P. and Fox, B.L."Calculating Prices and Sensitivites for Path-Independent Derivative Securities in Multifactor Models" - Willard, G.aschenck80@yahoo.comThanks in advance -a