Discrepancy theory and its application to finance

Shu Tezuka

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Citation (Scopus)


In this paper, we first give a brief overview of discrepancy theory, then introduce low-discrepancy sequences, in particular, the original Faure and generalized Faure sequences. Next, we describe how to apply them to the problem of pricing financial derivatives, along with a successful application of this technique to the valuation of the present value of mortgage-backed securities (MBS). Finally, we will discuss future research directions.

Original languageEnglish
Title of host publicationTheoretical Computer Science
Subtitle of host publicationExploring New Frontiers of Theoretical Informatics - International Conference IFIP TCS 2000, Proceedings
EditorsJan van Leeuwen, Osamu Watanabe, Masami Hagiya, Peter D. Mosses, Takayasu Ito
PublisherSpringer Verlag
Number of pages14
ISBN (Print)3540678239, 9783540678236
Publication statusPublished - 2000
Externally publishedYes
Event 1st IFIP International Conference on Theoretical Computer Science, TCS 2000 - Sendai, Japan
Duration: Aug 17 2000Aug 19 2000

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume1872 LNCS
ISSN (Print)0302-9743
ISSN (Electronic)1611-3349


Conference 1st IFIP International Conference on Theoretical Computer Science, TCS 2000

All Science Journal Classification (ASJC) codes

  • Theoretical Computer Science
  • General Computer Science


Dive into the research topics of 'Discrepancy theory and its application to finance'. Together they form a unique fingerprint.

Cite this