Monte Carlo and Quasi-Monte Carlo Methods 2010, Leszek Plaskota; Henryk Wo?niakowski

Автор: Glasserman
Название: Monte Carlo Methods in Financial Engineering
ISBN: 0387004513 ISBN-13(EAN): 9780387004518
Издательство: Springer
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Описание: From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not."

Автор: Han-lin Chen
Название: Complex Harmonic Splines, Periodic Quasi-Wavelets
ISBN: 9401058431 ISBN-13(EAN): 9789401058438
Издательство: Springer
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Описание: This book, written by our distinguished colleague and friend, Professor Han-Lin Chen of the Institute of Mathematics, Academia Sinica, Beijing, presents, for the first time in book form, his extensive work on complex harmonic splines with applications to wavelet analysis and the numerical solution of boundary integral equations.

Автор: Cools
Название: Monte Carlo and Quasi-Monte Carlo Methods
ISBN: 3319335057 ISBN-13(EAN): 9783319335056
Издательство: Springer
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Описание:

Автор: Pierre L` Ecuyer; Art B. Owen
Название: Monte Carlo and Quasi-Monte Carlo Methods 2008
ISBN: 3642425240 ISBN-13(EAN): 9783642425240
Издательство: Springer
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Описание: 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

Автор: Josef Dick; Frances Y. Kuo; Gareth W. Peters; Ian
Название: Monte Carlo and Quasi-Monte Carlo Methods 2012
ISBN: 3662514389 ISBN-13(EAN): 9783662514382
Издательство: Springer
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Цена: 19564.00 р.
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Описание: This book represents the refereed proceedings of the Tenth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of New South Wales (Australia) in February 2012.

Автор: Harald Niederreiter; Peter J. Shiue
Название: Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing
ISBN: 0387945776 ISBN-13(EAN): 9780387945774
Издательство: Springer
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Цена: 16769.00 р.
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Описание: Scientists and engineers are increasingly making use of simulation methods to solve problems which are insoluble by analytical techniques. Monte Carlo methods which make use of probabilistic simulations are frequently used in areas such as numerical integration, complex scheduling, queueing networks, and large-dimensional simulations.

Автор: Harald Niederreiter; Jerome Spanier
Название: Monte-Carlo and Quasi-Monte Carlo Methods 1998
ISBN: 354066176X ISBN-13(EAN): 9783540661764
Издательство: Springer
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Описание: This book represents the refereed proceedings of the Third International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at Claremont Graduate University in 1998.

Автор: Pierre L` Ecuyer; Art B. Owen
Название: Monte Carlo and Quasi-Monte Carlo Methods 2008
ISBN: 364204106X ISBN-13(EAN): 9783642041068
Издательство: Springer
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Цена: 29209.00 р.
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Описание: This volume represents the refereed proceedings of the Eighth International C- ference on Monte Carlo and Quasi-Monte Carlo Methods in Scienti c Computing, which was held at the University of Montr al, from 6-11 July, 2008. It contains a limited selection of articles based on presentations made at the conference. The program was arranged with the help of an international committee consisting of: Ronald Cools, Katholieke Universiteit Leuven Luc Devroye, McGill University Henri Faure, CNRS Marseille Paul Glasserman, Columbia University Peter W. Glynn, Stanford University Stefan Heinrich, University of Kaiserslautern Fred J. Hickernell, Illinois Institute of Technology Aneta Karaivanova, Bulgarian Academy of Science Alexander Keller, mental images GmbH, Berlin Adam Kolkiewicz, University of Waterloo Frances Y. Kuo, University of New South Wales Christian L cot, Universit de Savoie, Chamb ry Pierre L'Ecuyer, Universit de Montr al (Chair and organizer) Jun Liu, Harvard University Peter Math , Weierstrass Institute Berlin Makoto Matsumoto, Hiroshima University Thomas M ller-Gronbach, Otto von Guericke Universit t Harald Niederreiter, National University of Singapore Art B. Owen, Stanford University Gilles Pag s, Universit Pierre et Marie Curie (Paris 6) Klaus Ritter, TU Darmstadt Karl Sabelfeld, Weierstrass Institute Berlin Wolfgang Ch. Schmid, University of Salzburg Ian H. Sloan, University of New South Wales Jerome Spanier, University of California, Irvine Bruno Tuf n, IRISA-INRIA, Rennes Henryk Wozniak owski, Columbia University. v vi Preface The local arrangements (program production, publicity, web site, registration, social events, etc.

Автор: Gunther Leobacher; Friedrich Pillichshammer
Название: Introduction to Quasi-Monte Carlo Integration and Applications
ISBN: 3319034243 ISBN-13(EAN): 9783319034249
Издательство: Springer
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Описание: This book introduces the basic concepts of quasi-Monte Carlo methods for numerical integration and the theory behind them. It also presents methods currently used in research and discusses practical applications with an emphasis on finance-related problems.

Автор: Bennett L. Fox
Название: Strategies for Quasi-Monte Carlo
ISBN: 0792385802 ISBN-13(EAN): 9780792385806
Издательство: Springer
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Цена: 23058.00 р.
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Описание: Offers a framework to design and analyze strategies for randomized quasi-Monte Carlo (RQMC). This book provides illustrations for problems involving Poisson processes or Gaussian processes. It is useful for those individuals interested in improving simulation efficiency with more than incremental increases.

Автор: W.J.J. Rey
Название: Introduction to Robust and Quasi-Robust Statistical Methods
ISBN: 3540128662 ISBN-13(EAN): 9783540128663
Издательство: Springer
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Цена: 13275.00 р.
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Автор: Ansgar J?ngel
Название: Quasi-hydrodynamic Semiconductor Equations
ISBN: 3034895216 ISBN-13(EAN): 9783034895217
Издательство: Springer
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Цена: 13974.00 р.
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Описание: This book presents a hierarchy of macroscopic models for semiconductor devices, studying three classes of models in detail: isentropic drift-diffusion equations, energy-transport models, and quantum hydrodynamic equations.