Discrepancy theory and its application to finance

Shu Tezuka

Research output: Chapter in Book/Report/Conference proceedingConference 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 languageEnglish
Title of host publicationTheoretical Computer Science: Exploring New Frontiers of Theoretical Informatics - International Conference IFIP TCS 2000, Proceedings
Pages243-256
Number of pages14
Volume1872 LNCS
Publication statusPublished - 2000
Externally publishedYes
Event1st IFIP International Conference on Theoretical Computer Science, TCS 2000 - Sendai, Japan
Duration: Aug 17 2000Aug 19 2000

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume1872 LNCS
ISSN (Print)03029743
ISSN (Electronic)16113349

Other

Other1st IFIP International Conference on Theoretical Computer Science, TCS 2000
CountryJapan
CitySendai
Period8/17/008/19/00

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All Science Journal Classification (ASJC) codes

  • Theoretical Computer Science
  • Computer Science(all)

Cite this

Tezuka, S. (2000). Discrepancy theory and its application to finance. In Theoretical Computer Science: Exploring New Frontiers of Theoretical Informatics - International Conference IFIP TCS 2000, Proceedings (Vol. 1872 LNCS, pp. 243-256). (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 1872 LNCS).