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Efficient calculation of the worst-case error and (fast) component-by-component construction of higher order polynomial lattice rules

Baldeaux Jan; Dick Josef; Leobacher Gunther; Nuyens Dirk; Pillichshammer Friedrich (Springer, 2012)

We show how to obtain a fast component-by-component construction algorithm for higher order polynomial lattice rules. Such rules are useful for multivariate quadrature of high-dimensional smooth functions over the unit ...
Exact simulation of the 3/2 model

Baldeaux Jan (World Scientific Publishing Co, 2012)

This paper discusses the exact simulation of the stock price process underlying the 3/2 model. Using a result derived by Craddock and Lennox using Lie Symmetry Analysis, we adapt the Broadie-Kaya algorithm for the simulation ...

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