creator Zhao, Xiaoyang advisor Hickernell, Fred J. The Quadratic Exponential (QE) model is a market standard simulation method for the Heston stochastic volatility model. We identify certain numerical problems with the standard discretization and modify the original method to correct these problems. We implement our modified QE scheme for the Heston model in the Guaranteed Automatic Integration Library (GAIL)|a suite of algorithms that includes Monte Carlo and quasi-Monte Carlo methods for multidimensional integration and computation of means. GAIL computes answers to satisfy user-defined error tolerances. We also implement variance reduction techniques for our modified QE scheme in GAIL. The numerical results show that our modified scheme is fast and accurate, and satisfies the user-defined error tolerances. Submitted by Erma Thomas (thomase@iit.edu) on 2017-11-08T17:50:04Z No. of bitstreams: 1 etdadmin_upload_500360.zip: 249736 bytes, checksum: 557119452e883e1c34c644f18fe189b8 (MD5) Made available in DSpace on 2017-11-08T17:50:04Z (GMT). No. of bitstreams: 1 etdadmin_upload_500360.zip: 249736 bytes, checksum: 557119452e883e1c34c644f18fe189b8 (MD5) Previous issue date: 2017-05 M.S. in Applied Mathematics, May 2017 2017 2017-05 http://hdl.handle.net/10560/4185 en Guaranteed Automatic Integration Library Heston model Quadratic Exponential scheme quasi-Monte Carlo user-defined error tolerance Thesis born digital application/pdf In Copyright http://rightsstatements.org/page/InC/1.0/ Restricted Access MATH / Applied Mathematics Illinois Institute of Technology Affiliated department