Pricing Derivative Securities Using Integrated Quasi-Monte Carlo Methods with Dimension Reduction and Discontinuity Realignment.
Junichi ImaiKen Seng TanPublished in: SIAM J. Sci. Comput. (2014)
Keyphrases
- dimension reduction
- monte carlo methods
- monte carlo
- principal component analysis
- financial markets
- low dimensional
- high dimensional
- feature extraction
- linear discriminant analysis
- high dimensional problems
- high dimensional data
- bayesian networks
- singular value decomposition
- feature selection
- simulated annealing
- high dimensionality
- feature space
- unsupervised learning
- cluster analysis
- dimensionality reduction
- pattern recognition
- image processing
- monte carlo method
- preprocessing
- neural network
- similarity measure
- learning problems