Efficient Numerical Inversion for Financial Simulations

Efficient Numerical Inversion for Financial Simulations

Generating samples from generalized hyperbolic distributions and non-central chi-square distributions by inversion has become an important task for the simulation of recent models in finance in the framework of (quasi-) Monte Carlo. However, their distribution functions are quite expensive to evalua...

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Bibliographic Details
Main Authors: Derflinger, Gerhard, Hörmann, Wolfgang, Leydold, Josef, Sak, Halis
Format: Others
Language:en
Published: Department of Statistics and Mathematics, WU Vienna University of Economics and Business 2009
Subjects:
random variate generation / numerical inversion / generalized hyperbolic distribution / non-central chi-square distribution / varying parameter / CIR model
Online Access:http://epub.wu.ac.at/830/1/document.pdf

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