Monte Carlo scalable algorithms for Computational Finance.
Vassil N. AlexandrovChristian González MartelJanko StraßburgPublished in: ICCS (2011)
Keyphrases
- monte carlo
- monte carlo methods
- importance sampling
- stochastic approximation
- learning algorithm
- monte carlo simulation
- markovian decision
- markov chain
- computational cost
- quasi monte carlo
- particle filter
- non stationary
- least squares
- markov chain monte carlo
- artificial neural networks
- bayesian networks
- adaptive sampling
- artificial intelligence