Discrepancy theory and its application to finance

Shu Tezuka

研究成果: Chapter in Book/Report/Conference proceedingConference contribution

抄録

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.

本文言語英語
ホスト出版物のタイトルTheoretical Computer Science
ホスト出版物のサブタイトルExploring New Frontiers of Theoretical Informatics - International Conference IFIP TCS 2000, Proceedings
編集者Jan van Leeuwen, Osamu Watanabe, Masami Hagiya, Peter D. Mosses, Takayasu Ito
出版社Springer Verlag
ページ243-256
ページ数14
ISBN(印刷版)3540678239, 9783540678236
DOI
出版ステータス出版済み - 2000
イベント 1st IFIP International Conference on Theoretical Computer Science, TCS 2000 - Sendai, 日本
継続期間: 8 17 20008 19 2000

出版物シリーズ

名前Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
1872 LNCS
ISSN(印刷版)0302-9743
ISSN(電子版)1611-3349

会議

会議 1st IFIP International Conference on Theoretical Computer Science, TCS 2000
Country日本
CitySendai
Period8/17/008/19/00

All Science Journal Classification (ASJC) codes

  • Theoretical Computer Science
  • Computer Science(all)

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