Ecuyer, Pierre L'
Monte Carlo and Quasi-Monte Carlo Methods 2008
1. Monte Carlo and Quasi-Monte Carlo for Statistics
Art B. Owen
2. Monte Carlo Computation in Finance
Jeremy Staum
3. Particle Markov Chain Monte Carlo for Efficient Numerical Simulation
Christophe Andrieu, Arnaud Doucet, Roman Holenstein
4. Computational Complexity of Metropolis-Hastings Methods in High Dimensions
Alexandros Beskos, Andrew Stuart
5. On Quasi-Monte Carlo Rules Achieving Higher Order Convergence
Josef Dick
6. Sensitivity Estimates for Compound Sums
Paul Glasserman, Kyoung-Kuk Kim
7. New Perspectives on (0,
Christiane Lemieux, Henri Faure
8. Variable Subspace Sampling and Multi-level Algorithms
Thomas Müller-Gronbach, Klaus Ritter
9. Markov Chain Monte Carlo Algorithms: Theory and Practice
Jeffrey S. Rosenthal
10. MINT – New Features and New Results
Rudolf Schürer, Wolfgang Ch. Schmid
11. Recursive Computation of Value-at-Risk and Conditional Value-at-Risk using MC and QMC
Olivier Bardou, Noufel Frikha, Gilles Pagès
12. Adaptive Monte Carlo Algorithms Applied to Heterogeneous Transport Problems
Katherine Bhan, Rong Kong, Jerome Spanier
13. Efficient Simulation of Light-Tailed Sums: an Old-Folk Song Sung to a Faster New Tune...
Jose H. Blanchet, Kevin Leder, Peter W. Glynn
14. Distribution of Digital Explicit Inversive Pseudorandom Numbers and Their Binary Threshold Sequence
Zhixiong Chen, Domingo Gomez, Arne Winterhof
15. Extensions of Fibonacci Lattice Rules
Ronald Cools, Dirk Nuyens
16. Efficient Search for Two-Dimensional Rank-1 Lattices with Applications in Graphics
Sabrina Dammertz, Holger Dammertz, Alexander Keller
17. Parallel Random Number Generators Based on Large Order Multiple Recursive Generators
Lih-Yuan Deng, Jyh-Jen Horng Shiau, Gwei-Hung Tsai
18. Efficient Numerical Inversion for Financial Simulations
Gerhard Derflinger, Wolfgang Hörmann, Josef Leydold, Halis Sak
19. Equidistribution Properties of Generalized Nets and Sequences
Josef Dick, Jan Baldeaux
20. Implementation of a Component-By-Component Algorithm to Generate Small Low-Discrepancy Samples
Benjamin Doerr, Michael Gnewuch, Magnus Wahlström
21. Quasi-Monte Carlo Simulation of Diffusion in a Spatially Nonhomogeneous Medium
Rami El Haddad, Christian Lécot, Gopalakrishnan Venkiteswaran
22.
Henri Faure, Friedrich Pillichshammer
23. Vibrato Monte Carlo Sensitivities
Michael B. Giles
24. The Weighted Variance Minimization in Jump-Diffusion Stochastic Volatility Models
Anatoly Gormin, Yuri Kashtanov
25.
Leonhard Grünschloß, Alexander Keller
26. Automation of Statistical Tests on Randomness to Obtain Clearer Conclusion
Hiroshi Haramoto
27. On Subsequences of Niederreiter-Halton Sequences
Roswitha Hofer
28. Correcting the Bias in Monte Carlo Estimators of American-style Option Values
K. H. Felix Kan, R. Mark Reesor, Tyson Whitehead, Matt Davison
29. Fast Principal Components Analysis Method for Finance Problems With Unequal Time Steps
Jens Keiner, Benjamin J. Waterhouse
30. Adaptive Monte Carlo Algorithms for General Transport Problems
Jerome Spanier, Rong Kong, Martin Ambrose
31. On Array-RQMC for Markov Chains: Mapping Alternatives and Convergence Rates
Pierre L’Ecuyer, Christian Lécot, Adam L’Archevêque-Gaudet
32. Testing the Tests: Using Random Number Generators to Improve Empirical Tests
Paul Leopardi
33. Stochastic Spectral Formulations for Elliptic Problems
Sylvain Maire, Etienne Tanré
34. Adaptive (Quasi-)Monte Carlo Methods for Pricing Path-Dependent Options
Roman N. Makarov
35. Monte Carlo Simulation of Stochastic Integrals when the Cost of Function Evaluation Is Dimension Dependent
Ben Niu, Fred J. Hickernell
36. Recent Progress in Improvement of Extreme Discrepancy and Star Discrepancy of One-Dimensional Sequences
Victor Ostromoukhov
37. Discrepancy of Hyperplane Nets and Cyclic Nets
Friedrich Pillichshammer, Gottlieb Pirsic
38. A PRNG Specialized in Double Precision Floating Point Numbers Using an Affine Transition
Mutsuo Saito, Makoto Matsumoto
39. On the Behavior of the Weighted Star Discrepancy Bounds for Shifted Lattice Rules
Vasile Sinescu, Pierre L’Ecuyer
40. Ergodic Estimations of Upscaled Coefficients for Diffusion in Random Velocity Fields
Nicolae Suciu, Călin Vamoş
41. Green’s Functions by Monte Carlo
David White, Andrew Stuart
42. Tractability of Multivariate Integration for Weighted Korobov Spaces: My 15 Year Partnership with Ian Sloan
Henryk Woźniakowski
Keywords: Mathematics, Computational Mathematics and Numerical Analysis
- Author(s)
- Ecuyer, Pierre L'
- Owen, Art B.
- Publisher
- Springer
- Publication year
- 2009
- Language
- en
- Edition
- 1
- Page amount
- 12 pages
- Category
- Natural Sciences
- Format
- Ebook
- eISBN (PDF)
- 9783642041075