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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.html

The 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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