Junichi Imai

According to our database, Junichi Imai authored at least 7 papers between 2002 and 2014.

Collaborative distances:

• Dijkstra number of six.
• Erdős number of five.

2014

Pricing Derivative Securities Using Integrated Quasi-Monte Carlo Methods with Dimension Reduction and Discontinuity Realignment.

Junichi Imai, Ken Seng Tan

SIAM J. Sci. Comput., 2014

Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process.

Junichi Imai

Math. Comput. Simul., 2014

2013

Comparison of random number generators via Fourier transform.

Junichi Imai

Monte Carlo Methods Appl., 2013

Numerical inverse Lévy measure method for infinite shot noise series representation.

Junichi Imai, Reiichiro Kawai

J. Comput. Appl. Math., 2013

2010

Quasi-Monte Carlo Method for Infinitely Divisible Random Vectors via Series Representations.

Junichi Imai, Reiichiro Kawai

SIAM J. Sci. Comput., 2010

2009

An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic L[e-acute]vy Process.

Junichi Imai, Ken Seng Tan

SIAM J. Sci. Comput., 2009

2002

Derivatives and credit risk: enhanced quasi-monte carlo methods with dimension reduction.

Junichi Imai, Ken Seng Tan

Proceedings of the 34th Winter Simulation Conference: Exploring New Frontiers, 2002