Monte Carlo Methods and Applications

1995 - 2025

Current editor(s): Karl K. Sabelfeld

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Volume 20, issue 4, 2014

A numerical scheme based on semi-static hedging strategy pp. 223-235

Imamura Yuri, Ishigaki Yuta and Okumura Toshiki

A martingale approach to estimating confidence band with censored data pp. 237-243

Lee Seung-Hwan and Lee Eun-Joo

Hybrid Monte Carlo methods in credit risk management pp. 245-260

Del Chicca Lucia and Larcher Gerhard

Uncertainty quantification of world population growth: A self-similar PDF model pp. 261-277

Heinz Stefan

Stochastic polynomial chaos based algorithm for solving PDEs with random coefficients pp. 279-289

Shalimova Irina A. and Sabelfeld Karl K.

Volume 20, issue 3, 2014

Quasi-Monte Carlo: A high-dimensional experiment pp. 167-171

Sobol Ilya M. and Shukhman Boris V.

A spectral method for isotropic diffusion equation with random concentration fluctuations of incoming flux of particles through circular-shaped boundaries pp. 173-180

Sabelfeld Karl K. and Levykin Alexander I.

Multilevel Monte Carlo for Asian options and limit theorems pp. 181-194

Ben Alaya Mohamed and Kebaier Ahmed

Toward a coherent Monte Carlo simulation of CVA pp. 195-216

Abbas-Turki Lokman A., Bouselmi Aych I. and Mohammed Mikou

Field-induced Kosterlitz–Thouless transition in critical triangular-lattice antiferromagnets pp. 217-221

Hwang Chi-Ok and Kim Seung-Yeon

Volume 20, issue 2, 2014

Rare event simulation for diffusion processes via two-stage importance sampling pp. 77-100

Metzler Adam and Scott Alexandre

High performance computing in quantitative finance: A review from the pseudo-random number generator perspective pp. 101-120

Mascagni Michael, Qiu Yue and Hin Lin-Yee

An efficient Monte Carlo solution for problems with random matrices pp. 121-136

Grigoriu Mircea

The criterion of hypothesis testing on the covariance function of a Gaussian stochastic process pp. 137-144

Kozachenko Yuriy V. and Sergiienko Mykola P.

A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization pp. 145-165

Kharroubi Idris, Langrené Nicolas and Pham Huyên

Volume 20, issue 1, 2014

Implementation and analysis of an adaptive multilevel Monte Carlo algorithm pp. 1-41

Hoel Håkon, Erik von Schwerin, Szepessy Anders and Tempone Raúl

A benchmark study of the Wigner Monte Carlo method pp. 43-51

Sellier Jean Michel, Nedjalkov Mihail, Dimov Ivan and Selberherr Siegfried

A new Green's function Monte Carlo algorithm for the solution of the three-dimensional nonlinear Poisson–Boltzmann equation: Application to the modeling of plasma sheath layers pp. 53-59

Chatterjee Kausik, Roadcap John R. and Singh Surendra

Competency of Monte Carlo and Black–Scholes in pricing Nifty index options: A vis-à-vis study pp. 61-76

Singh Vipul Kumar

Volume 19, issue 4, 2013

Generation of parallel modified Kronecker sequences pp. 261-271

Chi Hongmei

A new numerical scheme for a class of reflected stochastic differential equations pp. 273-279

Yang Xuewei

Worst case error for integro-differential equations by a lattice-Nyström method pp. 281-330

Rostamy Davoud, Jabbari Mohammad and Gadirian Mahshid

Preliminary control variates to improve empirical regression methods pp. 331-354

Ben Zineb Tarik and Gobet Emmanuel

Volume 19, issue 3, 2013

Levy–Baxter theorems for one class of non-Gaussian random fields pp. 171-182

Kozachenko Yury, Kurchenko Oleksandr and Synyavska Olga

On convergence of the method based on approximately exact formulas for functional polynomials for calculation of expectations of functionals to solutions of stochastic differential equations pp. 183-199

Zherelo Anatoly

Monte Carlo approximations of the Neumann problem pp. 201-236

Maire Sylvain and Tanré Etienne

Comparison of random number generators via Fourier transform pp. 237-259

Imai Junichi

Volume 19, issue 2, 2013

Parallel pseudo-random number generators: A derivative pricing perspective with the Heston stochastic volatility model pp. 77-105

Mascagni Michael and Hin Lin-Yee

Double-barrier first-passage times of jump-diffusion processes pp. 107-141

Fernández Lexuri, Hieber Peter and Scherer Matthias

An algorithm for on-the-fly generation of samples of non-stationary Gaussian processes based on a sampling theorem pp. 143-169

Richard V. Field, Grigoriu Mircea and Dohrmann Clark R.

Volume 19, issue 1, 2013

A direct inversion method for non-uniform quasi-random point sequences pp. 1-9

Schretter Colas and Niederreiter Harald

A parallel algorithm for solving BSDEs pp. 11-39

Labart Céline and Lelong Jérôme

Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process pp. 41-71

Étoré Pierre and Martinez Miguel

Erratum: Fast simulation of Gaussian random fields [Monte Carlo Methods Appl. 17 (2011), 195–214] pp. 73-75

Lang Annika and Potthoff Jürgen

Volume 18, issue 4, 2012

A note on Newton's method for system of stochastic differential equations pp. 275-285

Habibi Reza

Quantization based recursive importance sampling pp. 287-326

Frikha Noufel and Sagna Abass

Dynamical system generated by algebraic method and low discrepancy sequences pp. 327-351

Mori Makoto and Mori Masaki

Improving the Monte Carlo estimation of boundary crossing probabilities by control variables pp. 353-377

Pötzelberger Klaus

Volume 18, issue 3, 2012

Quasi Monte Carlo methods applied to equations in transient regime on the Theis equation pp. 201-216

Azevedo Juarez S.

Stochastic boundary collocation and spectral methods for solving PDEs pp. 217-263

Sabelfeld Karl and Mozartova Nadezhda

A Green's function Monte Carlo algorithm for the Helmholtz equation subject to Neumann and mixed boundary conditions: Validation with an 1D benchmark problem pp. 265-273

Chatterjee Kausik and Anantapadmanabhan Akshay

Volume 18, issue 2, 2012

On the population median estimation using robust extreme ranked set sampling pp. 109-118

Al-Omari Amer Ibrahim and Amjad Al-Nasser

A mathematical formalization of the parallel replica dynamics pp. 119-146

Le Bris Claude, Lelièvre Tony, Luskin Mitchell and Perez Danny

A restarted estimation of distribution algorithm for solving sudoku puzzles pp. 147-160

Maire Sylvain and Prissette Cyril

Parallel random number generators in Monte Carlo derivative pricing: An application-based test pp. 161-179

Mascagni Michael and Hin Lin-Yee

Probabilistic error bounds for the discrepancy of mixed sequences pp. 181-200

Aistleitner Christoph and Hofer Markus

Volume 18, issue 1, 2012

Stochastic approximation with averaging innovation applied to Finance pp. 1-51

Laruelle Sophie and Pagès Gilles

The identification of price jumps pp. 53-77

Jan Hanousek, Evžen Kočenda and Novotný Jan

Discrepancy of higher rank polynomial lattice point sets pp. 79-108

Greslehner Julia and Pillichshammer Friedrich

Volume 17, issue 4, 2011

A general method for debiasing a Monte Carlo estimator pp. 301-315

Don McLeish

A probabilistic algorithm approximating solutions of a singular PDE of porous media type pp. 317-369

Nadia Belaribi, François Cuvelier and Francesco Russo

Pricing of barrier options by marginal functional quantization pp. 371-398

Abass Sagna

Non-negative regularization for systems of linear algebraic equations pp. 399-410

Victor S. Antyufeev

Variance of the simplest Monte Carlo estimators in the sign-changing case pp. 411-417

Sergej M. Ermakov

Volume 17, issue 3, 2011

Fast simulation of Gaussian random fields pp. 195-214

Lang Annika and Potthoff Jürgen

Simulation of sub-Gaussian processes using wavelets pp. 215-231

Turchyn Yevgen V.

Towards automatic global error control: Computable weak error expansion for the tau-leap method pp. 233-278

Karlsson Jesper and Tempone Raúl

Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes pp. 279-300

Kawai Reiichiro and Masuda Hiroki

Volume 17, issue 2, 2011

Calibration of financial models using quasi-Monte Carlo pp. 99-131

Eichler Andreas, Leobacher Gunther and Zellinger Heidrun

Hybrid modeling of homogenous gas-phase combustion reactions pp. 133-154

Brumback Terry E. and Chen Chien-Pin

Probability of large deviations of sums of random processes from Orlicz space pp. 155-168

Kozachenko Yu. V. and Mlavets Yu. Yu.

Critical branching random walk in an IID environment pp. 169-193

Engländer János and Sieben Nándor

Volume 17, issue 1, 2011

A note on approximating distribution functions of cusum and cusumsq tests pp. 1-10

Habibi Reza

Diffusion approximation of Lévy processes with a view towards finance pp. 11-45

Kiessling Jonas and Tempone Raúl

Efficient price sensitivity estimation of financial derivatives by weak derivatives pp. 47-75

Kloeden Peter E. and Sanz-Chacón Carlos

A framework for adaptive Monte Carlo procedures pp. 77-98

Lapeyre Bernard and Lelong Jérôme