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Monte Carlo and Quasi-Monte Carlo Methods 2000

Proceedings of a Conference held at Hong Kong Baptist University, Hong Kong SAR, China, November 27 – December 1, 2000

  • Conference proceedings
  • © 2002

Overview

Editors:
  1. Kai-Tai Fang

    1. Department of Mathematics, Hong Kong Baptist University, Kowloon Tong, Hong Kong SAR, China

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  2. Harald Niederreiter

    1. Department of Mathematics, National University of Singapore, Singapore, Republic of Singapore

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  3. Fred J. Hickernell

    1. Department of Mathematics, Hong Kong Baptist University, Kowloon Tong, Hong Kong SAR, China

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Table of contents (37 papers)

  1. Front Matter

    Pages I-XXII
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  2. Large Deviations in Rare Events Simulation: Examples, Counterexamples and Alternatives

    • Søren Asmussen
    Pages 1-9

  3. Some Applications of Quasi-Monte Carlo Methods in Statistics

    • Kai-Tai Fang
    Pages 10-26

  4. Some New Perspectives on the Method of Control Variates

    • Peter W. Glynn, Roberto Szechtman
    Pages 27-49

  5. Optimal Summation and Integration by Deterministic, Randomized, and Quantum Algorithms

    • Stefan Heinrich, Erich Novak
    Pages 50-62

  6. Quasirandom Walk Methods

    • Christian Lécot, Shigeyoshi Ogawa
    Pages 63-85

  7. Recent Advances in the Theory of Nonlinear Pseudorandom Number Generators

    • Harald Niederreiter, Igor E. Shparlinski
    Pages 86-102

  8. QMC Integration — Beating Intractability by Weighting the Coordinate Directions

    • Ian H. Sloan
    Pages 103-123

  9. Quasi-Monte Carlo — Discrepancy between Theory and Practice

    • Shu Tezuka
    Pages 124-140

  10. Efficient Monte Carlo Simulation Methods in Statistical Physics

    • Jian-Sheng Wang
    Pages 141-157

  11. An Historical Overview of Lattice Point Sets

    • Yuan Wang, Fred J. Hickernell
    Pages 158-167

  12. Multicanonical Monte Carlo Simulations

    • Bernd A. Berg
    Pages 168-180

  13. Pricing American Derivatives using Simulation: A Biased Low Approach

    • Phelim P. Boyle, Adam W. Kolkiewicz, Ken Seng Tan
    Pages 181-200

  14. Fast Evaluation of the Asian Basket Option by Singular Value Decomposition

    • Lars O. Dahl, Fred E. Benth
    Pages 201-214

  15. Relationships Between Uniformity, Aberration and Correlation in Regular Fractions 3s-1

    • Kai-Tai Fang, Chang-Xing Ma
    Pages 215-231

  16. Uniformity in Fractional Factorials

    • Kai-Tai Fang, Chang-Xing Ma, Rahul Mukerjee
    Pages 232-241

  17. Another Random Scrambling of Digital (t,s)-Sequences

    • Henri Faure, Shu Tezuka
    Pages 242-256

  18. Fast Generation of Randomized Low-Discrepancy Point Sets

    • Ilja Friedel, Alexander Keller
    Pages 257-273

  19. Obtaining O(N - 2+∈) Convergence for Lattice Quadrature Rules

    • Fred J. Hickernell
    Pages 274-289

  20. Efficient Bidirectional Path Tracing by Randomized Quasi-Monte Carlo Integration

    • Thomas Kollig, Alexander Keller
    Pages 290-305
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Editors and Affiliations

  • Department of Mathematics, Hong Kong Baptist University, Kowloon Tong, Hong Kong SAR, China

    Kai-Tai Fang, Fred J. Hickernell

  • Department of Mathematics, National University of Singapore, Singapore, Republic of Singapore

    Harald Niederreiter

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