2009

Monte Carlo and Quasi-Monte Carlo Methods 2008

Editors:

ISBN: 978-3-642-04106-8 (Print) 978-3-642-04107-5 (Online)

Table of contents (42 chapters)

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  1. Front Matter

    Pages I-XII

  2. Tutorials

    1. Front Matter

      Pages 1-1

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      Book Chapter

      Pages 3-18

      Monte Carlo and Quasi-Monte Carlo for Statistics

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      Book Chapter

      Pages 19-42

      Monte Carlo Computation in Finance

  3. Invited Articles

    1. Front Matter

      Pages 43-43

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      Book Chapter

      Pages 45-60

      Particle Markov Chain Monte Carlo for Efficient Numerical Simulation

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      Book Chapter

      Pages 61-71

      Computational Complexity of Metropolis-Hastings Methods in High Dimensions

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      Book Chapter

      Pages 73-96

      On Quasi-Monte Carlo Rules Achieving Higher Order Convergence

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      Book Chapter

      Pages 97-112

      Sensitivity Estimates for Compound Sums

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      Book Chapter

      Pages 113-130

      New Perspectives on (0,s)-Sequences

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      Book Chapter

      Pages 131-156

      Variable Subspace Sampling and Multi-level Algorithms

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      Book Chapter

      Pages 157-169

      Markov Chain Monte Carlo Algorithms: Theory and Practice

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      Book Chapter

      Pages 171-189

      MINT – New Features and New Results

  4. Contributed Articles

    1. Front Matter

      Pages 191-191

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      Book Chapter

      Pages 193-208

      Recursive Computation of Value-at-Risk and Conditional Value-at-Risk using MC and QMC

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      Book Chapter

      Pages 209-225

      Adaptive Monte Carlo Algorithms Applied to Heterogeneous Transport Problems

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      Book Chapter

      Pages 227-248

      Efficient Simulation of Light-Tailed Sums: an Old-Folk Song Sung to a Faster New Tune...

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      Book Chapter

      Pages 249-258

      Distribution of Digital Explicit Inversive Pseudorandom Numbers and Their Binary Threshold Sequence

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      Book Chapter

      Pages 259-270

      Extensions of Fibonacci Lattice Rules

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      Book Chapter

      Pages 271-287

      Efficient Search for Two-Dimensional Rank-1 Lattices with Applications in Graphics

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      Book Chapter

      Pages 289-296

      Parallel Random Number Generators Based on Large Order Multiple Recursive Generators

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      Book Chapter

      Pages 297-304

      Efficient Numerical Inversion for Financial Simulations

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      Book Chapter

      Pages 305-322

      Equidistribution Properties of Generalized Nets and Sequences

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      Book Chapter

      Pages 323-338

      Implementation of a Component-By-Component Algorithm to Generate Small Low-Discrepancy Samples

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