New Paper on QMC using Brownian Bridging

pekola · October 20th, 2008, 1:31 pm

Hi,does anyone has the following paper published this year (Journal of complexity):"New Brownian bridge construction in quasi-Monte Carlo methods for computational finance"

quartz · October 22nd, 2008, 12:06 pm

The recursive construction in standard BB follows usually a fixed standard radical inverse/van der corput-like order. However there's freedom in the order of evaluation, so they're optimizing over that getting some gains. It's interesting but dont expect orders of magnitude in improvement.

jfuqua · October 22nd, 2008, 12:48 pm

QuoteOriginally posted by: pekolaHi,does anyone has the following paper published this year (Journal of complexity):"New Brownian bridge construction in quasi-Monte Carlo methods for computational finance"=====================Reference is Journal of ComplexityVolume 24, Issue 2, April 2008, Pages 109-133