Monte Carlo and Quasi-Monte Carlo Methods 2008

Ecuyer, Pierre L'; Owen, Art B.

Monte Carlo and Quasi-Monte Carlo Methods 2008

Edited by Pierre L' Ecuyer () and Art B. Owen ()

in Springer Books from Springer

Date: 2009
ISBN: 978-3-642-04107-5
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Chapters in this book:

Monte Carlo and Quasi-Monte Carlo for Statistics: Art B. Owen
Monte Carlo Computation in Finance: Jeremy Staum
Particle Markov Chain Monte Carlo for Efficient Numerical Simulation: Christophe Andrieu, Arnaud Doucet and Roman Holenstein
Computational Complexity of Metropolis-Hastings Methods in High Dimensions: Alexandros Beskos and Andrew Stuart
On Quasi-Monte Carlo Rules Achieving Higher Order Convergence: Josef Dick
Sensitivity Estimates for Compound Sums: Paul Glasserman and Kyoung-Kuk Kim
New Perspectives on (0,s)-Sequences: Christiane Lemieux and Henri Faure
Variable Subspace Sampling and Multi-level Algorithms: Thomas Müller-Gronbach and Klaus Ritter
Markov Chain Monte Carlo Algorithms: Theory and Practice: Jeffrey S. Rosenthal
MINT – New Features and New Results: Rudolf Schürer and Wolfgang Ch. Schmid
Recursive Computation of Value-at-Risk and Conditional Value-at-Risk using MC and QMC: Olivier Bardou, Noufel Frikha and Gilles Pagès
Adaptive Monte Carlo Algorithms Applied to Heterogeneous Transport Problems: Katherine Bhan, Rong Kong and Jerome Spanier
Efficient Simulation of Light-Tailed Sums: an Old-Folk Song Sung to a Faster New Tune: Jose H. Blanchet, Kevin Leder and Peter W. Glynn
Distribution of Digital Explicit Inversive Pseudorandom Numbers and Their Binary Threshold Sequence: Zhixiong Chen, Domingo Gomez and Arne Winterhof
Extensions of Fibonacci Lattice Rules: Ronald Cools and Dirk Nuyens
Efficient Search for Two-Dimensional Rank-1 Lattices with Applications in Graphics: Sabrina Dammertz, Holger Dammertz and Alexander Keller
Parallel Random Number Generators Based on Large Order Multiple Recursive Generators: Lih-Yuan Deng, Jyh-Jen Horng Shiau and Gwei-Hung Tsai
Efficient Numerical Inversion for Financial Simulations: Gerhard Derflinger, Wolfgang Hörmann, Josef Leydold and Halis Sak
Equidistribution Properties of Generalized Nets and Sequences: Josef Dick and Jan Baldeaux
Implementation of a Component-By-Component Algorithm to Generate Small Low-Discrepancy Samples: Benjamin Doerr, Michael Gnewuch and Magnus Wahlström
Quasi-Monte Carlo Simulation of Diffusion in a Spatially Nonhomogeneous Medium: Rami El Haddad, Christian Lécot and Gopalakrishnan Venkiteswaran
L 2 Discrepancy of Two-Dimensional Digitally Shifted Hammersley Point Sets in Base b: Henri Faure and Friedrich Pillichshammer
Vibrato Monte Carlo Sensitivities: Michael B. Giles
The Weighted Variance Minimization in Jump-Diffusion Stochastic Volatility Models: Anatoly Gormin and Yuri Kashtanov
(t,m,s)-Nets and Maximized Minimum Distance, Part II: Leonhard Grünschloß and Alexander Keller
Automation of Statistical Tests on Randomness to Obtain Clearer Conclusion: Hiroshi Haramoto
On Subsequences of Niederreiter-Halton Sequences: Roswitha Hofer
Correcting the Bias in Monte Carlo Estimators of American-style Option Values: K. H. Felix Kan, R. Mark Reesor, Tyson Whitehead and Matt Davison
Fast Principal Components Analysis Method for Finance Problems With Unequal Time Steps: Jens Keiner and Benjamin J. Waterhouse
Adaptive Monte Carlo Algorithms for General Transport Problems: Jerome Spanier, Rong Kong and Martin Ambrose
On Array-RQMC for Markov Chains: Mapping Alternatives and Convergence Rates: Pierre L’Ecuyer, Christian Lécot and Adam L’Archevêque-Gaudet
Testing the Tests: Using Random Number Generators to Improve Empirical Tests: Paul Leopardi
Stochastic Spectral Formulations for Elliptic Problems: Sylvain Maire and Etienne Tanré
Adaptive (Quasi-)Monte Carlo Methods for Pricing Path-Dependent Options: Roman N. Makarov
Monte Carlo Simulation of Stochastic Integrals when the Cost of Function Evaluation Is Dimension Dependent: Ben Niu and Fred J. Hickernell
Recent Progress in Improvement of Extreme Discrepancy and Star Discrepancy of One-Dimensional Sequences: Victor Ostromoukhov
Discrepancy of Hyperplane Nets and Cyclic Nets: Friedrich Pillichshammer and Gottlieb Pirsic
A PRNG Specialized in Double Precision Floating Point Numbers Using an Affine Transition: Mutsuo Saito and Makoto Matsumoto
On the Behavior of the Weighted Star Discrepancy Bounds for Shifted Lattice Rules: Vasile Sinescu and Pierre L’Ecuyer
Ergodic Estimations of Upscaled Coefficients for Diffusion in Random Velocity Fields: Nicolae Suciu and Călin Vamoş
Green’s Functions by Monte Carlo: David White and Andrew Stuart
Tractability of Multivariate Integration for Weighted Korobov Spaces: My 15 Year Partnership with Ian Sloan: Henryk Woźniakowski

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DOI: 10.1007/978-3-642-04107-5

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