Exploring Quasi-Random Sequences with Mathematica

An HTML Version of a notebook that is part of the QR Streams documentation.

[Graphics:Images/QRDemonstration_gr_1.gif] Dr. D. Egloff
Senior Financial Engineer
CSK (Schweiz) AG
Industriestrasse 50a
8304 Wallisellen/Zurich
Switzerland

[Graphics:Images/QRDemonstration_gr_2.gif]



Dr. R. Maeder
MathConsult Dr. R. Mäder
Samstagernstraße 58a
8832 Wollerau
Switzerland

Introduction

Uniform Distribution, Discrepancy and Low-Discrepancy Sequences

The Classical Examples of Low-Discrepancy Sequences

The Construction based on (t,m,s)-Nets and (t,s)-Sequences

A Note on the Construction of Irreducible Polynomials

Application to Numerical Integration

Application to the Pricing of Complex Financial Securities

References