Maintained by  Karl Entacher 

Special Session:

Monte Carlo and Quasi-Monte Carlo Methods in Finance

organized by

Gerhard Larcher (University Linz) and Pierre L'Ecuyer (Universite de Montreal)

Talks

• Michael Fu (University of Maryland): "Pricing American-Style Options: A Comparison of Monte Carlo Approaches"
• Martin Predota (Technical University Graz): "Quasi-Monte Carlo Methods for Option Pricing in the Hyperbolic Model"
• Jin-Chuan Duan, Genevive Gauthier and Jean-Guy Simonato: "Numerical Pricing of Contingent Claims on Multiple Assets and/or Factors: A Low-Discrepancy Markov Chain Approach"
• Giray Oekten (CRIAMS): "A Numerical Comparison of Some Randomized Quasi-Monte Carlo Methods in Pricing Complex Securities"

Auspices: The International Association for Mathematics and Computers in Simulation