جميع الكتب

مهني

1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
التطبيقات حول المدرب تسجيل الدخول ابدأ القراءة

Quantitative Finance · المسرد

ما معنى Randomised quasi-Monte Carlo, Brownian bridge construction؟

يُعرف أيضًا باسم: randomised quasi-Monte Carlo · Brownian bridge construction

Definition 26.10 Quantitative Methods · الفصل 26 — Monte Carlo

Randomised quasi-Monte Carlo randomises a low-discrepancy set so that each point is uniform while the set keeps its structure, and estimates the error from independent replicates. The kit uses Owen’s nested uniform scrambling (1995): each binary digit of each coordinate is flipped by a random bit attached to the node of the binary tree that its leading digits define. The Brownian bridge construction assigns the first coordinate to WTW_T, the next to WT/2W_{T/2} given its ends, and so on down the levels, so that the first coordinates, where low-discrepancy points are best, carry most of the variance of the path.

256 points in the unit square: independent Philox uniforms and the first two coordinates of Owen-scrambled Sobol points. Data: the chapter’s tutorial, seeded.
Figure 26.2. 256 points in the unit square: independent Philox uniforms and the first two coordinates of Owen-scrambled Sobol points. Data: the chapter’s tutorial, seeded.
Standard error of the average-price call (64 fixings) against the number of paths: plain Monte Carlo and the control variate (slope -1/2), and scrambled Sobol points (16 independent scrambles) with increments in time order, with the Brownian bridge construction, and with the bridge and the control variate. Data: the chapter’s tutorial, seeded.
Figure 26.3. Standard error of the average-price call (64 fixings) against the number of paths: plain Monte Carlo and the control variate (slope −12-\frac12), and scrambled Sobol points (16 independent scrambles) with increments in time order, with the Brownian bridge construction, and with the bridge and the control variate. Data: the chapter’s tutorial, seeded.
اقرأ في الفصل →