Publications

(2019). An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options. European Journal of Operational Research, 274(2), 759-772.

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(2019). Asymptotic normality of extensible grid sampling. Statistics and Computing, 29(1), 53-65.

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(2017). Efficient Computation of Option Prices and Greeks by Quasi-Monte Carlo Method with Smoothing and Dimension reduction. SIAM Journal on Scientific Computing, 39 (2), B298-B322.

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(2016). An Auto-Realignment Method in Quasi-Monte Carlo for Pricing Financial Derivatives with Jump Structures. European Journal of Operational Research, 254(1), 304-311.

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(2016). Extensible Grids -- Uniform Sampling on a Space-Filling Curve. Journal of the Royal Statistical Society: Series B, 78(4), 917-931.

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(2015). On the Convergence Rate of Randomized Quasi-Monte Carlo for Discontinuous Functions. SIAM Journal on Numerical Analysis, 53(5), 2488-2503.

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(2014). Good Path Generation Methods in Quasi-Monte Carlo for Pricing Financial Derivatives. SIAM Journal on Scientific Computing, 36(2), B171-B197.

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