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Fast principal components analysis method for finance problems with unequal time steps. (English) Zbl 1182.91200

L’ Ecuyer, Pierre (ed.) et al., Monte Carlo and quasi-Monte Carlo methods 2008. Proceedings of the 8th international conference Monte Carlo and quasi-Monte Carlo methods in scientific computing, Montréal, Canada, July 6–11, 2008. Berlin: Springer (ISBN 978-3-642-04106-8/hbk). 455-465 (2009).
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