Discrepancy theory and its application to finance

Shu Tezuka

doi:10.1007/3-540-44929-9_19

Discrepancy theory and its application to finance

Shu Tezuka

Division of Applied Mathematics

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract

In this paper, we first give a brief overview of discrepancy theory, then introduce low-discrepancy sequences, in particular, the original Faure and generalized Faure sequences. Next, we describe how to apply them to the problem of pricing financial derivatives, along with a successful application of this technique to the valuation of the present value of mortgage-backed securities (MBS). Finally, we will discuss future research directions.

Original language	English
Title of host publication	Theoretical Computer Science
Subtitle of host publication	Exploring New Frontiers of Theoretical Informatics - International Conference IFIP TCS 2000, Proceedings
Editors	Jan van Leeuwen, Osamu Watanabe, Masami Hagiya, Peter D. Mosses, Takayasu Ito
Publisher	Springer Verlag
Pages	243-256
Number of pages	14
ISBN (Print)	3540678239, 9783540678236
DOIs	https://doi.org/10.1007/3-540-44929-9_19
Publication status	Published - 2000
Event	1st IFIP International Conference on Theoretical Computer Science, TCS 2000 - Sendai, Japan Duration: Aug 17 2000 → Aug 19 2000

Publication series

Name	Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume	1872 LNCS
ISSN (Print)	0302-9743
ISSN (Electronic)	1611-3349

Conference

Conference	1st IFIP International Conference on Theoretical Computer Science, TCS 2000
Country/Territory	Japan
City	Sendai
Period	8/17/00 → 8/19/00

All Science Journal Classification (ASJC) codes

Theoretical Computer Science
Computer Science(all)

Access to Document

10.1007/3-540-44929-9_19

Cite this

Tezuka, S. (2000). Discrepancy theory and its application to finance. In J. van Leeuwen, O. Watanabe, M. Hagiya, P. D. Mosses, & T. Ito (Eds.), Theoretical Computer Science: Exploring New Frontiers of Theoretical Informatics - International Conference IFIP TCS 2000, Proceedings (pp. 243-256). (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 1872 LNCS). Springer Verlag. https://doi.org/10.1007/3-540-44929-9_19

Discrepancy theory and its application to finance. / Tezuka, Shu.

Theoretical Computer Science: Exploring New Frontiers of Theoretical Informatics - International Conference IFIP TCS 2000, Proceedings. ed. / Jan van Leeuwen; Osamu Watanabe; Masami Hagiya; Peter D. Mosses; Takayasu Ito. Springer Verlag, 2000. p. 243-256 (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 1872 LNCS).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Tezuka, S 2000, Discrepancy theory and its application to finance. in J van Leeuwen, O Watanabe, M Hagiya, PD Mosses & T Ito (eds), Theoretical Computer Science: Exploring New Frontiers of Theoretical Informatics - International Conference IFIP TCS 2000, Proceedings. Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), vol. 1872 LNCS, Springer Verlag, pp. 243-256, 1st IFIP International Conference on Theoretical Computer Science, TCS 2000, Sendai, Japan, 8/17/00. https://doi.org/10.1007/3-540-44929-9_19

Tezuka S. Discrepancy theory and its application to finance. In van Leeuwen J, Watanabe O, Hagiya M, Mosses PD, Ito T, editors, Theoretical Computer Science: Exploring New Frontiers of Theoretical Informatics - International Conference IFIP TCS 2000, Proceedings. Springer Verlag. 2000. p. 243-256. (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)). doi: 10.1007/3-540-44929-9_19

Tezuka, Shu. / Discrepancy theory and its application to finance. Theoretical Computer Science: Exploring New Frontiers of Theoretical Informatics - International Conference IFIP TCS 2000, Proceedings. editor / Jan van Leeuwen ; Osamu Watanabe ; Masami Hagiya ; Peter D. Mosses ; Takayasu Ito. Springer Verlag, 2000. pp. 243-256 (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)).

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Discrepancy theory and its application to finance

Abstract

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