Junichi Imai

Publication Activity (10 Years)

Years Active: 2002-2014
Publications (10 Years): 0

Top Topics

Fourier Transform

Monte Carlo Methods

Dimension Reduction

Top Venues

Math. Comput. Simul.

Monte Carlo Methods Appl.

J. Comput. Appl. Math.

SIAM J. Sci. Comput.

Publications

Junichi Imai
Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process. Math. Comput. Simul. 100 (2014)
Junichi Imai, Ken Seng Tan
Pricing Derivative Securities Using Integrated Quasi-Monte Carlo Methods with Dimension Reduction and Discontinuity Realignment. SIAM J. Sci. Comput. 36 (5) (2014)
Junichi Imai
Comparison of random number generators via Fourier transform. Monte Carlo Methods Appl. 19 (3) (2013)
Junichi Imai, Reiichiro Kawai
Numerical inverse Lévy measure method for infinite shot noise series representation. J. Comput. Appl. Math. 253 (2013)
Junichi Imai, Reiichiro Kawai
Quasi-Monte Carlo Method for Infinitely Divisible Random Vectors via Series Representations. SIAM J. Sci. Comput. 32 (4) (2010)
Junichi Imai, Ken Seng Tan
An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic L[e-acute]vy Process. SIAM J. Sci. Comput. 31 (3) (2009)
Junichi Imai, Ken Seng Tan
Derivatives and credit risk: enhanced quasi-monte carlo methods with dimension reduction. WSC (2002)