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Author: Ronald Cools
Publisher: Springer
ISBN: 3319335073
Category : Mathematics
Languages : en
Pages : 624
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Book Description
This book presents the refereed proceedings of the Eleventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Leuven (Belgium) in April 2014. These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. Offering information on the latest developments in these very active areas, this book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, arising, in particular, in finance, statistics and computer graphics.
Author: Ronald Cools
Publisher: Springer
ISBN: 3319335073
Category : Mathematics
Languages : en
Pages : 624
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Book Description
This book presents the refereed proceedings of the Eleventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Leuven (Belgium) in April 2014. These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. Offering information on the latest developments in these very active areas, this book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, arising, in particular, in finance, statistics and computer graphics.
Author: Christiane Lemieux
Publisher: Springer Science & Business Media
ISBN: 038778165X
Category : Mathematics
Languages : en
Pages : 373
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Book Description
Quasi–Monte Carlo methods have become an increasingly popular alternative to Monte Carlo methods over the last two decades. Their successful implementation on practical problems, especially in finance, has motivated the development of several new research areas within this field to which practitioners and researchers from various disciplines currently contribute. This book presents essential tools for using quasi–Monte Carlo sampling in practice. The first part of the book focuses on issues related to Monte Carlo methods—uniform and non-uniform random number generation, variance reduction techniques—but the material is presented to prepare the readers for the next step, which is to replace the random sampling inherent to Monte Carlo by quasi–random sampling. The second part of the book deals with this next step. Several aspects of quasi-Monte Carlo methods are covered, including constructions, randomizations, the use of ANOVA decompositions, and the concept of effective dimension. The third part of the book is devoted to applications in finance and more advanced statistical tools like Markov chain Monte Carlo and sequential Monte Carlo, with a discussion of their quasi–Monte Carlo counterpart. The prerequisites for reading this book are a basic knowledge of statistics and enough mathematical maturity to follow through the various techniques used throughout the book. This text is aimed at graduate students in statistics, management science, operations research, engineering, and applied mathematics. It should also be useful to practitioners who want to learn more about Monte Carlo and quasi–Monte Carlo methods and researchers interested in an up-to-date guide to these methods.
Author: Alexander Keller
Publisher: Springer Science & Business Media
ISBN: 3540744967
Category : Mathematics
Languages : en
Pages : 684
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Book Description
This book presents the refereed proceedings of the Seventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, held in Ulm, Germany, in August 2006. The proceedings include carefully selected papers on many aspects of Monte Carlo and quasi-Monte Carlo methods and their applications. They also provide information on current research in these very active areas.
Author: Paul Glasserman
Publisher: Springer Science & Business Media
ISBN: 0387216170
Category : Mathematics
Languages : en
Pages : 603
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Book Description
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." --Glyn Holton, Contingency Analysis
Author: James E. Gentle
Publisher: Springer Science & Business Media
ISBN: 147572960X
Category : Computers
Languages : en
Pages : 252
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Book Description
Monte Carlo simulation has become one of the most important tools in all fields of science. This book surveys the basic techniques and principles of the subject, as well as general techniques useful in more complicated models and in novel settings. The emphasis throughout is on practical methods that work well in current computing environments.
Author: Harald Niederreiter
Publisher: Springer
ISBN: 3319223216
Category : Mathematics
Languages : en
Pages : 452
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Book Description
This textbook effectively builds a bridge from basic number theory to recent advances in applied number theory. It presents the first unified account of the four major areas of application where number theory plays a fundamental role, namely cryptography, coding theory, quasi-Monte Carlo methods, and pseudorandom number generation, allowing the authors to delineate the manifold links and interrelations between these areas. Number theory, which Carl-Friedrich Gauss famously dubbed the queen of mathematics, has always been considered a very beautiful field of mathematics, producing lovely results and elegant proofs. While only very few real-life applications were known in the past, today number theory can be found in everyday life: in supermarket bar code scanners, in our cars’ GPS systems, in online banking, etc. Starting with a brief introductory course on number theory in Chapter 1, which makes the book more accessible for undergraduates, the authors describe the four main application areas in Chapters 2-5 and offer a glimpse of advanced results that are presented without proofs and require more advanced mathematical skills. In the last chapter they review several further applications of number theory, ranging from check-digit systems to quantum computation and the organization of raster-graphics memory. Upper-level undergraduates, graduates and researchers in the field of number theory will find this book to be a valuable resource.
Author: Josef Dick
Publisher: Springer Science & Business Media
ISBN: 3642410952
Category : Mathematics
Languages : en
Pages : 680
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Book Description
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. These biennial conferences are major events for Monte Carlo and the premiere event for quasi-Monte Carlo research. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. The reader will be provided with information on latest developments in these very active areas. The book is an excellent reference for theoreticians and practitioners interested in solving high-dimensional computational problems arising, in particular, in finance, statistics and computer graphics.
Author: Pierre L' Ecuyer
Publisher: Springer Science & Business Media
ISBN: 3642041078
Category : Mathematics
Languages : en
Pages : 669
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Book Description
This book represents the refereed proceedings of the Eighth International Conference on Monte Carlo (MC)and Quasi-Monte Carlo (QMC) Methods in Scientific Computing, held in Montreal (Canada) in July 2008. It covers the latest theoretical developments as well as important applications of these methods in different areas. It contains two tutorials, eight invited articles, and 32 carefully selected articles based on the 135 contributed presentations made at the conference. This conference is a major event in Monte Carlo methods and is the premiere event for quasi-Monte Carlo and its combination with Monte Carlo. This series of proceedings volumes is the primary outlet for quasi-Monte Carlo research.
Author: Art B. Owen
Publisher: Springer
ISBN: 3319914367
Category : Computers
Languages : en
Pages : 476
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Book Description
This book presents the refereed proceedings of the Twelfth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at Stanford University (California) in August 2016. These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. Offering information on the latest developments in these very active areas, this book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, arising in particular, in finance, statistics, computer graphics and the solution of PDEs.
Author: Christian Robert
Publisher: Springer Science & Business Media
ISBN: 1441915753
Category : Computers
Languages : en
Pages : 297
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Book Description
This book covers the main tools used in statistical simulation from a programmer’s point of view, explaining the R implementation of each simulation technique and providing the output for better understanding and comparison.
