[Quantlib-dev] contribution proposal

[Richard W. <ric...@gm...>]

Hi,

I have been on the list for a while, but haven't gotten a chance to
contribute.  Recently I am reading a paper which uses a multilevel technique
to reduce computational cost in Monte Carlo method.  I'd like to make a
proposal to implement this fast Monte Carlo method to the library.

 The method is developed by M. Giles from Oxford University recently (who is
named Risk quant of the year 2007).   You can get his information from

http://web.comlab.ox.ac.uk/oucl/work/mike.giles/finance.html

The paper

M.B. Giles. `Multi-level Monte Carlo path simulation'. to appear in
Operations Research, 2007/8.

 can be download from the same page.

Richard