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Ecuyer, Pierre L'

Monte Carlo and Quasi-Monte Carlo Methods 2008

Ecuyer, Pierre L' - Monte Carlo and Quasi-Monte Carlo Methods 2008, ebook

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ISBN: 9783642041075
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Table of contents

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,s)-Sequences
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.
L
2 Discrepancy of Two-Dimensional Digitally Shifted Hammersley Point Sets in Base b

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.
(t,m,s)-Nets and Maximized Minimum Distance, Part II
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)
 
Publisher
Springer
Publication year
2009
Language
en
Edition
1
Category
Natural Sciences
Format
Ebook
eISBN (PDF)
9783642041075

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