Grzelak, L. A.; Witteveen, J. A. S.; Suárez Taboada, María; Oosterlee, Cornelis W. (Taylor and Francis Group & Routledge, 2019)
[Abstract]: In this article, we propose an efficient approach for inverting computationally expensive cumulative distribution functions. A collocation method, called the Stochastic Collocation Monte Carlo sampler (SCMC ...