WG: High-Dimensional Sobol Sequences

Philipp Noël Baecker philipp.baecker@gmx.net
Mon Nov 7 09:49:00 GMT 2005


Von: Philipp Noël Baecker [mailto:philipp.baecker@gmx.net] 
Gesendet: Montag, 24. Oktober 2005 13:00
An: 'gsl-discuss@sources.redhat.com'
Betreff: High-Dimensional Sobol Sequences


Dear Group:
 
A while ago I extended the dimensionality of the GSL Sobol QRNG to
facilitate a variety of financial applications (e.g. stochastic integration
for American option pricing).
 
Since I have received a number of request regarding this functionality, I
decided to make the extension available as a small GSL package. It can be
downloaded from
 
http://www.ebs.de/fileadmin/redakteur/funkt.dept.finance/hommel/software/qrn
gextra-0.1.zip.
 
Among my goals are extending this package to include more general sequences
as well as building reliable test routines.
 
In the meantime, I am grateful for feedback.
 
Best regards
 
Philipp



More information about the Gsl-discuss mailing list