Parallel Computation of Multivariate Normal Probabilities

by Elise de Doncker , Alan Genz , Manuel Ciobanu
Citations:102 - 7 self

Active Bibliography

Numerical Computation of Rectangular – Bivariate And Trivariate, Alan Genz - 2004
2 Integrand and Performance Analysis with PARINT / PARVIS – Elise de Doncker, Rodger Zanny, Karlis Kaugars - 2000
39 Methods for the Computation of Multivariate t-Probabilities – Alan Genz, Frank Bretz - 2000
2 Asynchronous Quasi-Monte Carlo Methods – E. de Doncker, M. Ciobanu, Y. Guan, R. Zanny - 2000
3 Distributed Quasi-Monte Carlo Methods in a Heterogeneous Environment – E. de Doncker, R. Zanny, M. Ciobanu, Y. Guan - 2000
4 Computing Multivariate Normal Probabilities Using Rank-1 Lattice Sequences – Fred J. Hickernell, Hee Sun Hong - 1997
4 Valuation of Performance-Dependent Options – Thomas Gerstner, Markus Holtz - 2006
2 Work Anomaly In Distributed Adaptive Partitioning Algorithms – Rodger Zanny, Elise De Doncker - 2000
2 Incremental Refinement Structures for Approximate Signal Processing – Joseph M. Winograd, Joseph M. Winograd, S. Hamid Nawab, W. Clement Karl, Thomas D. C. Little, Truong Q. Nguyen - 1997
3 Probabilistic Complexity Analysis for a Class of Approximate DFT Algorithms – Joseph M. Winograd, S. Hamid Nawab - 1996
Contents Overview........................................ 2 General Classes 3 – unknown authors - 2008
Contents Overview........................................ 2 General Classes 3 – unknown authors - 2008
Contents Overview........................................ 2 General Classes 3 – unknown authors - 2010
with arbitrary marginals and – Athanassios N. Avramidis, Nabil Channouf - 2008
Univariate Marginals Are Discrete – A. N. Avramidis, N. Channouf, Athanassios N. Avramidis, Nabil Channouf, Université De Montréal, Les Cahiers Du Gerad - 2006
Cumulative Normal Functions – Graeme West, The Need For High Precision
28 Pricing and Hedging American Options: A Recursive Integration Method – Jing-zhi Huang, Marti G. Subrahmanyam, Leonard N. Stern, G. George Yu, Steven Feinstein, Steven Figlewski, Bin Gao, Bjarne Jensen, Herb Johnson, Nianqin Wang We - 1996
1 EM algorithms for multivariate Gaussian mixture models with truncated and censored data – Gyemin Lee, Clayton Scott - 2010
29 Extensible Lattice Sequences For Quasi-Monte Carlo Quadrature – Fred J. Hickernell, Hee Sun Hong, Pierre L'Écuyer, Christiane Lemieux - 1999