Numerical Algorithms Group

Multi-asset derivative pricing using quasi-random numbers (2008)

Monte Carlo Simulation, George Levy, Numerical Algorithms Group

In a previous Financial Engineering News article [1] the author gave introductory details concerning the use of quasi-random numbers for Monte Carlo simulation. The benefits to be gained by using...

Cache Efficient Bidiagonalization Using BLAS 2.5 Operators \Lambda (2005)

S. Hammarling, Numerical Algorithms Group