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Monte Carlo and Quasi-Monte Carlo Methods 2008
Editor
Listed:
- Pierre L' Ecuyer(Université de Montréal, Centre de Recherches Mathématiques)Art B. Owen(Stanford University, Dept. Statistics)
Abstract
No abstract is available for this item.
Individual chapters are listed in the "Chapters" tab
Suggested Citation
DOI: 10.1007/978-3-642-04107-5
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Book Chapters
The following chapters of this book are listed in IDEAS- Art B. Owen, 2009. "Monte Carlo and Quasi-Monte Carlo for Statistics," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 3-18, Springer.
- Jeremy Staum, 2009. "Monte Carlo Computation in Finance," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 19-42, Springer.
- Christophe Andrieu & Arnaud Doucet & Roman Holenstein, 2009. "Particle Markov Chain Monte Carlo for Efficient Numerical Simulation," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 45-60, Springer.
- Alexandros Beskos & Andrew Stuart, 2009. "Computational Complexity of Metropolis-Hastings Methods in High Dimensions," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 61-71, Springer.
- Josef Dick, 2009. "On Quasi-Monte Carlo Rules Achieving Higher Order Convergence," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 73-96, Springer.
- Paul Glasserman & Kyoung-Kuk Kim, 2009. "Sensitivity Estimates for Compound Sums," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 97-112, Springer.
- Christiane Lemieux & Henri Faure, 2009. "New Perspectives on (0,s)-Sequences," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 113-130, Springer.
- Thomas Müller-Gronbach & Klaus Ritter, 2009. "Variable Subspace Sampling and Multi-level Algorithms," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 131-156, Springer.
- Jeffrey S. Rosenthal, 2009. "Markov Chain Monte Carlo Algorithms: Theory and Practice," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 157-169, Springer.
- Rudolf Schürer & Wolfgang Ch. Schmid, 2009. "MINT – New Features and New Results," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 171-189, Springer.
- Olivier Bardou & Noufel Frikha & Gilles Pagès, 2009. "Recursive Computation of Value-at-Risk and Conditional Value-at-Risk using MC and QMC," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 193-208, Springer.
- Katherine Bhan & Rong Kong & Jerome Spanier, 2009. "Adaptive Monte Carlo Algorithms Applied to Heterogeneous Transport Problems," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 209-225, Springer.
- Jose H. Blanchet & Kevin Leder & Peter W. Glynn, 2009. "Efficient Simulation of Light-Tailed Sums: an Old-Folk Song Sung to a Faster New Tune..," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 227-248, Springer.
- Zhixiong Chen & Domingo Gomez & Arne Winterhof, 2009. "Distribution of Digital Explicit Inversive Pseudorandom Numbers and Their Binary Threshold Sequence," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 249-258, Springer.
- Ronald Cools & Dirk Nuyens, 2009. "Extensions of Fibonacci Lattice Rules," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 259-270, Springer.
- Sabrina Dammertz & Holger Dammertz & Alexander Keller, 2009. "Efficient Search for Two-Dimensional Rank-1 Lattices with Applications in Graphics," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 271-287, Springer.
- Lih-Yuan Deng & Jyh-Jen Horng Shiau & Gwei-Hung Tsai, 2009. "Parallel Random Number Generators Based on Large Order Multiple Recursive Generators," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 289-296, Springer.
- Gerhard Derflinger & Wolfgang Hörmann & Josef Leydold & Halis Sak, 2009. "Efficient Numerical Inversion for Financial Simulations," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 297-304, Springer.
- Josef Dick & Jan Baldeaux, 2009. "Equidistribution Properties of Generalized Nets and Sequences," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 305-322, Springer.
- Benjamin Doerr & Michael Gnewuch & Magnus Wahlström, 2009. "Implementation of a Component-By-Component Algorithm to Generate Small Low-Discrepancy Samples," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 323-338, Springer.
- Rami El Haddad & Christian Lécot & Gopalakrishnan Venkiteswaran, 2009. "Quasi-Monte Carlo Simulation of Diffusion in a Spatially Nonhomogeneous Medium," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 339-354, Springer.
- Henri Faure & Friedrich Pillichshammer, 2009. "L 2 Discrepancy of Two-Dimensional Digitally Shifted Hammersley Point Sets in Base b," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 355-368, Springer.
- Michael B. Giles, 2009. "Vibrato Monte Carlo Sensitivities," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 369-382, Springer.
- Anatoly Gormin & Yuri Kashtanov, 2009. "The Weighted Variance Minimization in Jump-Diffusion Stochastic Volatility Models," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 383-394, Springer.
- Leonhard Grünschloß & Alexander Keller, 2009. "(t,m,s)-Nets and Maximized Minimum Distance, Part II," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 395-409, Springer.
- Hiroshi Haramoto, 2009. "Automation of Statistical Tests on Randomness to Obtain Clearer Conclusion," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 411-421, Springer.
- Roswitha Hofer, 2009. "On Subsequences of Niederreiter-Halton Sequences," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 423-438, Springer.
- K. H. Felix Kan & R. Mark Reesor & Tyson Whitehead & Matt Davison, 2009. "Correcting the Bias in Monte Carlo Estimators of American-style Option Values," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 439-454, Springer.
- Jens Keiner & Benjamin J. Waterhouse, 2009. "Fast Principal Components Analysis Method for Finance Problems With Unequal Time Steps," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 455-465, Springer.
- Jerome Spanier & Rong Kong & Martin Ambrose, 2009. "Adaptive Monte Carlo Algorithms for General Transport Problems," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 467-483, Springer.
- Pierre L’Ecuyer & Christian Lécot & Adam L’Archevêque-Gaudet, 2009. "On Array-RQMC for Markov Chains: Mapping Alternatives and Convergence Rates," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 485-500, Springer.
- Paul Leopardi, 2009. "Testing the Tests: Using Random Number Generators to Improve Empirical Tests," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 501-512, Springer.
- Sylvain Maire & Etienne Tanré, 2009. "Stochastic Spectral Formulations for Elliptic Problems," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 513-528, Springer.
- Roman N. Makarov, 2009. "Adaptive (Quasi-)Monte Carlo Methods for Pricing Path-Dependent Options," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 529-544, Springer.
- Ben Niu & Fred J. Hickernell, 2009. "Monte Carlo Simulation of Stochastic Integrals when the Cost of Function Evaluation Is Dimension Dependent," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 545-560, Springer.
- Victor Ostromoukhov, 2009. "Recent Progress in Improvement of Extreme Discrepancy and Star Discrepancy of One-Dimensional Sequences," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 561-572, Springer.
- Friedrich Pillichshammer & Gottlieb Pirsic, 2009. "Discrepancy of Hyperplane Nets and Cyclic Nets," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 573-587, Springer.
- Mutsuo Saito & Makoto Matsumoto, 2009. "A PRNG Specialized in Double Precision Floating Point Numbers Using an Affine Transition," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 589-602, Springer.
- Vasile Sinescu & Pierre L’Ecuyer, 2009. "On the Behavior of the Weighted Star Discrepancy Bounds for Shifted Lattice Rules," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 603-616, Springer.
- Nicolae Suciu & Călin Vamoş, 2009. "Ergodic Estimations of Upscaled Coefficients for Diffusion in Random Velocity Fields," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 617-626, Springer.
- David White & Andrew Stuart, 2009. "Green’s Functions by Monte Carlo," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 627-636, Springer.
- Henryk Woźniakowski, 2009. "Tractability of Multivariate Integration for Weighted Korobov Spaces: My 15 Year Partnership with Ian Sloan," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 637-653, Springer.
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