Field, Richard V. jun.; Grigoriu, Mircea; Dohrmann, Clark R. An algorithm for on-the-fly generation of samples of non-stationary Gaussian processes based on a sampling theorem. (English) Zbl 1322.65026 Monte Carlo Methods Appl. 19, No. 2, 143-169 (2013). MSC: 65C50 65C05 60G15 PDF BibTeX XML Cite \textit{R. V. Field jun.} et al., Monte Carlo Methods Appl. 19, No. 2, 143--169 (2013; Zbl 1322.65026) Full Text: DOI
Fernández, Lexuri; Hieber, Peter; Scherer, Matthias Double-barrier first-passage times of jump-diffusion processes. (English) Zbl 1410.91446 Monte Carlo Methods Appl. 19, No. 2, 107-141 (2013). MSC: 91G20 60G51 91G60 65Y20 58J65 PDF BibTeX XML Cite \textit{L. Fernández} et al., Monte Carlo Methods Appl. 19, No. 2, 107--141 (2013; Zbl 1410.91446) Full Text: DOI
Mascagni, Michael; Hin, Lin-Yee Parallel pseudo-random number generators: a derivative pricing perspective with the Heston stochastic volatility model. (English) Zbl 1273.65006 Monte Carlo Methods Appl. 19, No. 2, 77-105 (2013). MSC: 65C10 65C05 65Y05 91G60 91G10 91B25 PDF BibTeX XML Cite \textit{M. Mascagni} and \textit{L.-Y. Hin}, Monte Carlo Methods Appl. 19, No. 2, 77--105 (2013; Zbl 1273.65006) Full Text: DOI