contribution proposal
Posted by
Richard Wang-2 on
Jan 08, 2008; 4:32pm
URL: http://quantlib.414.s1.nabble.com/contribution-proposal-tp11542.html
Hi,
I have been on the list for a while, but haven't gotten a
chance to contribute. Recently I am reading a paper which uses a
multilevel technique to reduce computational cost in Monte Carlo
method. I'd like to make a proposal to implement this fast Monte Carlo
method to the library.
The method is developed by M. Giles from Oxford University
recently (who is named Risk quant of the year 2007). You can get his
information from
http://web.comlab.ox.ac.uk/oucl/work/mike.giles/finance.htmlThe paper
M.B. Giles.
`Multi-level Monte Carlo path simulation'.
to appear in Operations Research, 2007/8.
can be download from the same page.
Richard
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