The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions

  1. Grzelak, L.A.
  2. Witteveen, J.A.S.
  3. Suárez-Taboada, M.
  4. Oosterlee, C.W.
Journal:
Quantitative Finance

ISSN: 1469-7696,  1469-7688

Year of publication: 2019

Volume: 19

Issue: 2

Pages: 339-356

Type: Article

DOI: 10.1080/14697688.2018.1459807 GOOGLE SCHOLAR lock_openOpen access editor

Sustainable development goals

Data source: Scopus