何志坚
何志坚
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何志坚
,
Xiaoqun Wang
(2020).
Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall
.
Mathematics of Computation
.
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何志坚
,
Xiaoqun Wang
(2020).
An Integrated Quasi-Monte Carlo Method for Handling High Dimensional Problems with Discontinuities in Financial Engineering
.
Computational Economics
.
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何志坚
(2019).
On the Error Rate of Conditional Quasi-Monte Carlo for Discontinuous Functions
.
SIAM Journal on Numerical Analysis
, 57(2), 854-874.
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Fei Xie
,
何志坚
(?)
,
Xiaoqun Wang
(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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何志坚
,
Lingjiong Zhu
(2019).
Asymptotic normality of extensible grid sampling
.
Statistics and Computing
, 29(1), 53-65.
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何志坚
(2018).
Quasi-Monte Carlo for Discontinuous Integrands with Singularities along the Boundary of the Unit Cube
.
Mathematics of Computation
, 87(314), 2857-2870.
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Chengfeng Weng
,
Xiaoqun Wang
,
何志坚
(?)
(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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Chengfeng Weng
,
Xiaoqun Wang
,
何志坚
(?)
(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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何志坚
,
Art Owen
(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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何志坚
,
Xiaoqun Wang
(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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何志坚
,
Xiaoqun Wang
(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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