Monte Carlo and Quasi-Monte Carlo Methods 2008

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor Corporativo: SpringerLink (Online service)
Otros Autores: L' Ecuyer, Pierre (Editor ), Owen, Art B. (Editor )
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2009.
Edición:1st ed. 2009.
Temas:
Numerical analysis.
Mathematics-Data processing.
Computer science-Mathematics.
Operations research.
Numerical Analysis.
Computational Mathematics and Numerical Analysis.
Mathematical Applications in Computer Science.
Operations Research and Decision Theory.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • Tutorials
  • Monte Carlo and Quasi-Monte Carlo for Statistics
  • Monte Carlo Computation in Finance
  • Invited Articles
  • Particle Markov Chain Monte Carlo for Efficient Numerical Simulation
  • Computational Complexity of Metropolis-Hastings Methods in High Dimensions
  • On Quasi-Monte Carlo Rules Achieving Higher Order Convergence
  • Sensitivity Estimates for Compound Sums
  • New Perspectives on (0,)-Sequences
  • Variable Subspace Sampling and Multi-level Algorithms
  • Markov Chain Monte Carlo Algorithms: Theory and Practice
  • MINT - New Features and New Results
  • Contributed Articles
  • Recursive Computation of Value-at-Risk and Conditional Value-at-Risk using MC and QMC
  • Adaptive Monte Carlo Algorithms Applied to Heterogeneous Transport Problems
  • Efficient Simulation of Light-Tailed Sums: an Old-Folk Song Sung to a Faster New Tune...
  • Distribution of Digital Explicit Inversive Pseudorandom Numbers and Their Binary Threshold Sequence
  • Extensions of Fibonacci Lattice Rules
  • Efficient Search for Two-Dimensional Rank-1 Lattices with Applications in Graphics
  • Parallel Random Number Generators Based on Large Order Multiple Recursive Generators
  • Efficient Numerical Inversion for Financial Simulations
  • Equidistribution Properties of Generalized Nets and Sequences
  • Implementation of a Component-By-Component Algorithm to Generate Small Low-Discrepancy Samples
  • Quasi-Monte Carlo Simulation of Diffusion in a Spatially Nonhomogeneous Medium
  • Discrepancy of Two-Dimensional Digitally Shifted Hammersley Point Sets in Base
  • Vibrato Monte Carlo Sensitivities
  • The Weighted Variance Minimization in Jump-Diffusion Stochastic Volatility Models
  • -Nets and Maximized Minimum Distance, Part II
  • Automation of Statistical Tests on Randomness to Obtain Clearer Conclusion
  • On Subsequences of Niederreiter-Halton Sequences
  • Correcting the Bias in Monte Carlo Estimators of American-style Option Values
  • Fast Principal Components Analysis Method for Finance Problems With Unequal Time Steps
  • Adaptive Monte Carlo Algorithms for General Transport Problems
  • On Array-RQMC for Markov Chains: Mapping Alternatives and Convergence Rates
  • Testing the Tests: Using Random Number Generators to Improve Empirical Tests
  • Stochastic Spectral Formulations for Elliptic Problems
  • Adaptive (Quasi-)Monte Carlo Methods for Pricing Path-Dependent Options
  • Monte Carlo Simulation of Stochastic Integrals when the Cost of Function Evaluation Is Dimension Dependent
  • Recent Progress in Improvement of Extreme Discrepancy and Star Discrepancy of One-Dimensional Sequences
  • Discrepancy of Hyperplane Nets and Cyclic Nets
  • A PRNG Specialized in Double Precision Floating Point Numbers Using an Affine Transition
  • On the Behavior of the Weighted Star Discrepancy Bounds for Shifted Lattice Rules
  • Ergodic Estimations of Upscaled Coefficients for Diffusion in Random Velocity Fields
  • Green's Functions by Monte Carlo
  • Tractability of Multivariate Integration for Weighted Korobov Spaces: My 15 Year Partnership with Ian Sloan.

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