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Bridge Sampling

Sampling using Bridges and Quasi Monte Carlo methods (Brownian Bridge and Gamma Bridge)

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Updated 25 Jul 2012

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Results from Chapter 7 and 8 of Financial Modelling by Joerg Kienitz and Daniel Wetterau.

We illustrate bridge sampling with quasi random numbers, in this case Sobol numbers.

We cover the Brownian Bridge for Geometric Brownian motion and Gamma Bridge for Variance Gamma processes.

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MATLAB Release Compatibility
Created with R2012a
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