# De Gruyter

# Monte Carlo Methods and Applications

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**Current editor:**Karl K. Sabelfeld

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### June 2017, Volume 23, Issue 2

**71-88 Invariant density estimation for a reflected diffusion using an Euler scheme***by*Cattiaux Patrick & León José R. & Prieur Clémentine**89-99 Feistel-inspired scrambling improves the quality of linear congruential generators***by*Aljahdali Asia & Mascagni Michael**101-110 Stochastic polynomial chaos expansion method for random Darcy equation***by*Shalimova Irina A. & Sabelfeld Karl K.**111-120 Effect of covariate misspecifications in the marginalized zero-inflated Poisson model***by*Iddi Samuel & Nwoko Esther O.**121-129 Stochastic mesh method for optimal stopping problems***by*Kashtanov Yuri**131-146 Computing with bivariate COM-Poisson model under different copulas***by*Mamode Khan Naushad & Rumjaun Wasseem & Sunecher Yuvraj & Jowaheer Vandna**147-147 Improved Markov Chain Monte Carlo method for cryptanalysis substitution-transposition cipher***by*Fathi-Vajargah Behrouz & Kanafchian Mohadeseh

### March 2017, Volume 23, Issue 1

**1-12 Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes***by*Rey Clément**13-20 On the tangent model for the density of lines and a Monte Carlo method for computing hypersurface area***by*El Khaldi Khaldoun & Saleeby Elias G.**21-42 MCMC design-based non-parametric regression for rare event. Application to nested risk computations***by*Fort Gersende & Gobet Emmanuel & Moulines Eric**43-70 Limit theorems for weighted and regular Multilevel estimators***by*Giorgi Daphné & Lemaire Vincent & Pagès Gilles

### December 2016, Volume 22, Issue 4

**265-275 Random walk on spheres method for solving drift-diffusion problems***by*Sabelfeld Karl K.**277-289 On the construction of boundary preserving numerical schemes***by*Halidias Nikolaos**291-305 Perfect and ε-perfect simulation methods for the one-dimensional Kac equation***by*Corcoran Jem N. & Jennings Dale & VaughanMiller Paul**307-322 Approximation of Euler–Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process***by*Benabdallah Mohsine & Elkettani Youssfi & Hiderah Kamal**323-335 Improved Markov Chain Monte Carlo method for cryptanalysis substitution-transposition cipher***by*Fathi-Vajargah Behrouz & Kanafchian Mohadeseh**337-347 The planar Couette flow with slip and jump boundary conditions in a microchannel***by*Hssikou Mohamed & Baliti Jamal & Alaoui Mohammed**349-357 A search for extensible low-WAFOM point sets***by*Harase Shin

### September 2016, Volume 22, Issue 3

**161-196 A new proof of geometric convergence for the adaptive generalized weighted analog sampling (GWAS) method***by*Kong Rong & Spanier Jerome**197-228 Ninomiya–Victoir scheme: Strong convergence, antithetic version and application to multilevel estimators***by*Al Gerbi Anis & Jourdain Benjamin & Clément Emmanuelle**229-258 Numerical computation for backward doubly SDEs with random terminal time***by*Matoussi Anis & Sabbagh Wissal**259-264 Vector Monte Carlo stochastic matrix-based algorithms for large linear systems***by*Sabelfeld Karl K.

### June 2016, Volume 22, Issue 2

**81-107 Information geometry, simulation and complexity in Gaussian random fields***by*Levada Alexandre L.**109-116 On the complexity of binary floating point pseudorandom generation***by*Nekrutkin Vladimir**117-131 Random walk on semi-cylinders for diffusion problems with mixed Dirichlet–Robin boundary conditions***by*Sabelfeld Karl K.**133-148 The acceptance-rejection method for low-discrepancy sequences***by*Nguyen Nguyet & Ökten Giray**149-159 Study and simulation of the sputtering process of material layers in plasma***by*Bouazza Abdelkader & Settaouti Abderrahmane

### March 2016, Volume 22, Issue 1

**1-23 An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers***by*Dereudre David & Mazzonetto Sara & Roelly Sylvie**25-54 Special quasirandom structures: A selection approach for stochastic homogenization***by*Le Bris Claude & Legoll Frédéric & Minvielle William**55-72 Splitting and survival probabilities in stochastic random walk methods and applications***by*Sabelfeld Karl K.**73-79 The Manhattan Project, the first electronic computer and the Monte Carlo method***by*Benov Dobriyan M.

### December 2015, Volume 21, Issue 4

**255-273 The parallel replica method for computing equilibrium averages of Markov chains***by*Aristoff David**275-281 Mathematical verification of the Monte Carlo maximum cross-section technique***by*Antyufeev Victor S.**283-299 Infinite-dimensional Monte-Carlo integration***by*Pantsulaia Gogi R.**301-312 Widening and clustering techniques allowing the use of monotone CFTP algorithm***by*Bounnite Mohamed Yasser & Nasroallah Abdelaziz**313-323 Constructing positivity preserving numerical schemes for the two-factor CIR model***by*Halidias Nikolaos**325-328 Simulation of random variates with the Morgenstern distribution***by*Makhotkin Oleg A.

### September 2015, Volume 21, Issue 3

**179-187 Random cubatures and quasi-Monte Carlo methods***by*Antonov Anton A. & Ermakov Sergej M.**189-203 Numerical solution of an inverse problem of coefficient recovering for a wave equation by a stochastic projection methods***by*Kabanikhin Sergey I. & Sabelfeld Karl K. & Novikov Nikita S. & Shishlenin Maxim A.**205-231 Simulating from the Heston model: A gamma approximation scheme***by*Bégin Jean-François & Bédard Mylène & Gaillardetz Patrice**233-244 Reliability and accuracy in the space Lp(T) for the calculation of integrals depending on a parameter by the Monte Carlo method***by*Kozachenko Yuriy V. & Mlavets Yuriy Y.**245-253 A new numerical scheme for the CIR process***by*Halidias Nikolaos

### June 2015, Volume 21, Issue 2

**91-120 Optimal switching problems under partial information***by*Li Kai & Nyström Kaj & Olofsson Marcus**121-137 A class of probabilistic models for the Schrödinger equation***by*Wagner Wolfgang**139-152 Computing the exit-time for a finite-range symmetric jump process***by*Burch Nathanial & Lehoucq R. B.**153-161 Stochastic small perturbation based simulation technique for solving isotropic elastostatics equations***by*Kolyukhin Dmitriy & Sabelfeld Karl K.**163-174 Memory efficient lagged-Fibonacci random number generators for GPU supercomputing***by*Andersen Timothy D. & Mascagni Michael**175-178 A limit theorem for average dimensions***by*Shukhman Boris V. & Sobol Ilya M.

### March 2015, Volume 21, Issue 1

**1-32 Functional quantization-based stratified sampling methods***by*Corlay Sylvain & Pagès Gilles**33-48 Stochastic simulation of fluctuation-induced reaction-diffusion kinetics governed by Smoluchowski equations***by*Sabelfeld Karl K. & Levykin Alexander I. & Kireeva Anastasiya E.**49-58 Bayesian beta regression models with joint mean and dispersion modeling***by*Cepeda-Cuervo Edilberto & Garrido Liliana**59-67 DSMC method for a two-dimensional flow with a gravity field in a square cavity***by*Hssikou Mohamed & Baliti Jamal & Bouzineb Yassir & Alaoui Mohammed**69-76 Consensus in science***by*Stallinga Peter & Khmelinskii Igor**77-90 A Matlab-based Monte Carlo algorithm for transport of gamma-rays in matter***by*Sharifzadeh Mohsen & Khalafi Hosein & Gholipour Reza & Afarideh Hosein

### December 2014, Volume 20, Issue 4

**223-235 A numerical scheme based on semi-static hedging strategy***by*Imamura Yuri & Ishigaki Yuta & Okumura Toshiki**237-243 A martingale approach to estimating confidence band with censored data***by*Lee Seung-Hwan & Lee Eun-Joo**245-260 Hybrid Monte Carlo methods in credit risk management***by*Del Chicca Lucia & Larcher Gerhard**261-277 Uncertainty quantification of world population growth: A self-similar PDF model***by*Heinz Stefan**279-289 Stochastic polynomial chaos based algorithm for solving PDEs with random coefficients***by*Shalimova Irina A. & Sabelfeld Karl K.

### September 2014, Volume 20, Issue 3

**167-171 Quasi-Monte Carlo: A high-dimensional experiment***by*Sobol Ilya M. & Shukhman Boris V.**173-180 A spectral method for isotropic diffusion equation with random concentration fluctuations of incoming flux of particles through circular-shaped boundaries***by*Sabelfeld Karl K. & Levykin Alexander I.**181-194 Multilevel Monte Carlo for Asian options and limit theorems***by*Ben Alaya Mohamed & Kebaier Ahmed**195-216 Toward a coherent Monte Carlo simulation of CVA***by*Abbas-Turki Lokman A. & Bouselmi Aych I. & Mikou Mohammed A.**217-221 Field-induced Kosterlitz–Thouless transition in critical triangular-lattice antiferromagnets***by*Hwang Chi-Ok & Kim Seung-Yeon

### June 2014, Volume 20, Issue 2

**77-100 Rare event simulation for diffusion processes via two-stage importance sampling***by*Metzler Adam & Scott Alexandre**101-120 High performance computing in quantitative finance: A review from the pseudo-random number generator perspective***by*Mascagni Michael & Qiu Yue & Hin Lin-Yee**121-136 An efficient Monte Carlo solution for problems with random matrices***by*Grigoriu Mircea**137-144 The criterion of hypothesis testing on the covariance function of a Gaussian stochastic process***by*Kozachenko Yuriy V. & Sergiienko Mykola P.**145-165 A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization***by*Kharroubi Idris & Langrené Nicolas & Pham Huyên

### March 2014, Volume 20, Issue 1

**1-41 Implementation and analysis of an adaptive multilevel Monte Carlo algorithm***by*Hoel Håkon & Tempone Raúl & von Schwerin Erik & Szepessy Anders**43-51 A benchmark study of the Wigner Monte Carlo method***by*Sellier Jean Michel & Dimov Ivan & Nedjalkov Mihail & Selberherr Siegfried**53-59 A new Green's function Monte Carlo algorithm for the solution of the three-dimensional nonlinear Poisson–Boltzmann equation: Application to the modeling of plasma sheath layers***by*Chatterjee Kausik & Roadcap John R. & Singh Surendra**61-76 Competency of Monte Carlo and Black–Scholes in pricing Nifty index options: A vis-à-vis study***by*Singh Vipul Kumar

### December 2013, Volume 19, Issue 4

**261-271 Generation of parallel modified Kronecker sequences***by*Chi Hongmei**273-279 A new numerical scheme for a class of reflected stochastic differential equations***by*Yang Xuewei**281-330 Worst case error for integro-differential equations by a lattice-Nyström method***by*Rostamy Davoud & Jabbari Mohammad & Gadirian Mahshid**331-354 Preliminary control variates to improve empirical regression methods***by*Ben Zineb Tarik & Gobet Emmanuel

### October 2013, Volume 19, Issue 3

**171-182 Levy–Baxter theorems for one class of non-Gaussian random fields***by*Kozachenko Yury & Kurchenko Oleksandr & Synyavska Olga**183-199 On convergence of the method based on approximately exact formulas for functional polynomials for calculation of expectations of functionals to solutions of stochastic differential equations***by*Zherelo Anatoly**201-236 Monte Carlo approximations of the Neumann problem***by*Maire Sylvain & Tanré Etienne**237-259 Comparison of random number generators via Fourier transform***by*Imai Junichi

### July 2013, Volume 19, Issue 2

**77-105 Parallel pseudo-random number generators: A derivative pricing perspective with the Heston stochastic volatility model***by*Mascagni Michael & Hin Lin-Yee**107-141 Double-barrier first-passage times of jump-diffusion processes***by*Fernández Lexuri & Hieber Peter & Scherer Matthias**143-169 An algorithm for on-the-fly generation of samples of non-stationary Gaussian processes based on a sampling theorem***by*Field, Jr. Richard V. & Grigoriu Mircea & Dohrmann Clark R.

### March 2013, Volume 19, Issue 1

**1-9 A direct inversion method for non-uniform quasi-random point sequences***by*Schretter Colas & Niederreiter Harald**11-39 A parallel algorithm for solving BSDEs***by*Labart Céline & Lelong Jérôme**41-71 Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process***by*Étoré Pierre & Martinez Miguel**73-75 Erratum: Fast simulation of Gaussian random fields [Monte Carlo Methods Appl. 17 (2011), 195–214]***by*Lang Annika & Potthoff Jürgen

### December 2012, Volume 18, Issue 4

**275-285 A note on Newton's method for system of stochastic differential equations***by*Habibi Reza**287-326 Quantization based recursive importance sampling***by*Frikha Noufel & Sagna Abass**327-351 Dynamical system generated by algebraic method and low discrepancy sequences***by*Mori Makoto & Mori Masaki**353-377 Improving the Monte Carlo estimation of boundary crossing probabilities by control variables***by*Pötzelberger Klaus

### September 2012, Volume 18, Issue 3

**201-216 Quasi Monte Carlo methods applied to equations in transient regime on the Theis equation***by*Azevedo Juarez S.**217-263 Stochastic boundary collocation and spectral methods for solving PDEs***by*Sabelfeld Karl & Mozartova Nadezhda**265-273 A Green's function Monte Carlo algorithm for the Helmholtz equation subject to Neumann and mixed boundary conditions: Validation with an 1D benchmark problem***by*Chatterjee Kausik & Anantapadmanabhan Akshay

### January 2012, Volume 18, Issue 2

**109-118 On the population median estimation using robust extreme ranked set sampling***by*Al-Omari Amer Ibrahim & Al-Nasser Amjad D.**119-146 A mathematical formalization of the parallel replica dynamics***by*Le Bris Claude & Lelièvre Tony & Luskin Mitchell & Perez Danny**147-160 A restarted estimation of distribution algorithm for solving sudoku puzzles***by*Maire Sylvain & Prissette Cyril**161-179 Parallel random number generators in Monte Carlo derivative pricing: An application-based test***by*Mascagni Michael & Hin Lin-Yee**181-200 Probabilistic error bounds for the discrepancy of mixed sequences***by*Aistleitner Christoph & Hofer Markus

### January 2012, Volume 18, Issue 1

**1-51 Stochastic approximation with averaging innovation applied to Finance***by*Laruelle Sophie & Pagès Gilles**53-77 The identification of price jumps***by*Hanousek Jan & Kočenda Evžen & Novotný Jan**79-108 Discrepancy of higher rank polynomial lattice point sets***by*Greslehner Julia & Pillichshammer Friedrich

### December 2011, Volume 17, Issue 4

**301-315 A general method for debiasing a Monte Carlo estimator***by*McLeish, Don**317-369 A probabilistic algorithm approximating solutions of a singular PDE of porous media type***by*Belaribi, Nadia & Cuvelier, François & Russo, Francesco**371-398 Pricing of barrier options by marginal functional quantization***by*Sagna, Abass**399-410 Non-negative regularization for systems of linear algebraic equations***by*Antyufeev, Victor S.**411-417 Variance of the simplest Monte Carlo estimators in the sign-changing case***by*Ermakov, Sergej M.

### January 2011, Volume 17, Issue 3

**195-214 Fast simulation of Gaussian random fields***by*Lang Annika & Potthoff Jürgen**215-231 Simulation of sub-Gaussian processes using wavelets***by*Turchyn Yevgen V.**233-278 Towards automatic global error control: Computable weak error expansion for the tau-leap method***by*Karlsson Jesper & Tempone Raúl**279-300 Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes***by*Kawai Reiichiro & Masuda Hiroki

### January 2011, Volume 17, Issue 2

**99-131 Calibration of financial models using quasi-Monte Carlo***by*Eichler Andreas & Leobacher Gunther & Zellinger Heidrun**133-154 Hybrid modeling of homogenous gas-phase combustion reactions***by*Brumback Terry E. & Chen Chien-Pin**155-168 Probability of large deviations of sums of random processes from Orlicz space***by*Kozachenko Yu. V. & Mlavets Yu. Yu.**169-193 Critical branching random walk in an IID environment***by*Engländer János & Sieben Nándor

### January 2011, Volume 17, Issue 1

**1-10 A note on approximating distribution functions of cusum and cusumsq tests***by*Habibi Reza**11-45 Diffusion approximation of Lévy processes with a view towards finance***by*Kiessling Jonas & Tempone Raúl**47-75 Efficient price sensitivity estimation of financial derivatives by weak derivatives***by*Kloeden Peter E. & Sanz-Chacón Carlos**77-98 A framework for adaptive Monte Carlo procedures***by*Lapeyre Bernard & Lelong Jérôme

### January 2010, Volume 16, Issue 3-4

**195-195 Editiorial***by*Dubus Alain & Sabelfeld Karl**197-209 Random packing of hyperspheres and Marsaglia's parking lot test***by*Agapie Stefan C. & Whitlock Paula A.**211-230 Diffusion in a nonhomogeneous medium: quasi-random walk on a lattice***by*El Haddad Rami & Lécot Christian & Venkiteswaran Gopalakrishnan**231-250 Improved Halton sequences and discrepancy bounds***by*Faure Henri & Lemieux Christiane**251-263 Generalizing Sudoku to three dimensions***by*Lambert Tiffany A. & Whitlock Paula A.**265-282 Adaptive integration and approximation over hyper-rectangular regions with applications to basket option pricing***by*De Luigi Christophe & Maire Sylvain**283-306 Exact simulation of Bessel diffusions***by*Makarov Roman N. & Glew Devin**307-322 A good permutation for one-dimensional diaphony***by*Pausinger Florian & Schmid Wolfgang Ch.**323-342 Error bounds for computing the expectation by Markov chain Monte Carlo***by*Rudolf Daniel**343-359 Stochastic iterative projection methods for large linear systems***by*Sabelfeld Karl & Loshchina Nadja**361-377 Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model***by*Sak Halis**379-398 A genetic algorithm approach to estimate lower bounds of the star discrepancy***by*Shah Manan**399-420 Random and deterministic fragmentation models***by*Wagner Wolfgang**421-438 MCMC imputation in autologistic model***by*Zalewska Marta & Niemiro Wojciech & Samoliński Bolesław

### January 2010, Volume 16, Issue 2

**95-127 Approximate formulas for expectations of functionals of solutions to stochastic differential equations***by*Egorov A. & Sabelfeld K.**129-142 Simulation of binary random fields with Gaussian numerical models***by*Prigarin Sergei M. & Martin Andreas & Winkler Gerhard**143-165 A spectral-based Monte Carlo algorithm for generating samples of nonstationary Gaussian processes***by*Grigoriu M.**167-190 The Multilevel Monte Carlo method used on a Lévy driven SDE***by*Marxen Henning**191-193 Erratum. Exact retrospective Monte Carlo computation of arithmetic average Asian options***by*Jourdain Benjamin & Sbai Mohamed

### January 2010, Volume 16, Issue 1

**1-67 Adaptive weak approximation of reflected and stopped diffusions***by*Bayer Christian & Szepessy Anders & Tempone Raúl**69-93 A systematic study of efficient sampling methods to quantify uncertainty in crack propagation and the Burgers equation***by*Jimenez Edwin & Lay Nathan & Hussaini M. Yousuff

### January 2009, Volume 15, Issue 4

**285-310 Multiple stochastic volatility extension of the Libor market model and its implementation***by*Belomestny Denis & Mathew Stanley & Schoenmakers John**311-332 Scrambled Soboĺ sequences via permutation***by*Mascagni Michael & Yu Haohai**333-351 Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients***by*Neuenkirch Andreas & Zähle Henryk**353-380 A central limit theorem for the functional estimation of the spot volatility***by*Ngo Hoang-Long & Ogawa Shigeyoshi

### January 2009, Volume 15, Issue 3

**173-210 Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling***by*Bardou O. & Frikha N. & Pagès G.**211-228 Comparison of descriptive statistics for multidimensional point sets***by*Beachkofski Brian**229-239 Berry–Esseen inequalities for discretely observed diffusions***by*Bishwal Jaya P. N.**241-255 Uniform generation of anonymous and neutral preference profiles for social choice rules***by*Eğecioğlu Ömer**257-284 Sparsified Randomization Algorithms for large systems of linear equations and a new version of the Random Walk on Boundary method***by*Sabelfeld K. & Mozartova N.

### January 2009, Volume 15, Issue 2

**91-105 On the simulation of Markov chain steady-state distribution using CFTP algorithm***by*Fakhouri H. & Nasroallah A.**107-133 The exponential-normal form and its application to ultra high energy cascades investigation***by*Kirillov A. A. & Kirillov I. A.**135-144 On importance sampling in the problem of global optimization***by*Missov Trifon I. & Ermakov Sergey M.**145-167 Bayesian and non-Bayesian analysis of mixed-effects PK/PD models based on differential equations***by*Wang Yi & Eskridge Kent M. & Nadarajah S. & Galecki Andrzey T.**169-172 Correction of a proof in “A probabilistic result on the discrepancy of a hybrid-Monte Carlo sequence and applications”***by*Ökten Giray & Gnewuch Michael

### January 2009, Volume 15, Issue 1

**1-10 Spectral test and spectral distance for multiplicative generators with moduli 2p***by*Nekrutkin V. & Sabitov R.**11-47 On Monte Carlo algorithms applied to Dirichlet problems for parabolic operators in the setting of time-dependent domains***by*Nyström Kaj & Önskog Thomas**49-62 Computer modeling of stationary particles transport in open cylindrical nanosystems by Monte Carlo method***by*Pletnev Leonid & Gvozdev Maxim & Samartsau Kiryl**63-90 Stochastic simulation of particle transport by a random Darcy flow through a porous cylinder***by*Sabelfeld K. & Kurbanmuradov O. & Levykin A.

### January 2008, Volume 14, Issue 4

**281-302 Quasi-Monte Carlo methods for the Kou model***by*Baldeaux Jan**303-310 A uniformly distributed sequence on the ring of p-adic integers***by*Fujita Takahiko & Kaneko Hiroshi & Matsumoto Shin**311-329 Realizability of dynamic subgrid-scale stress models via stochastic analysis***by*Heinz Stefan**331-342 Real-time scheme for the volatility estimation in the presence of microstructure noise***by*Ogawa Shigeyoshi**343-377 PDF modeling and simulation of premixed turbulent combustion***by*Stöllinger Michael & Heinz Stefan

### January 2008, Volume 14, Issue 3

**191-268 Deviational particle Monte Carlo for the Boltzmann equation***by*Wagner Wolfgang**269-279 Exploitation of sensitivity derivatives via randomized quasi-Monte Carlo methods***by*Cao Y. & Chi H. & Milton C. & Zhao W.

### January 2008, Volume 14, Issue 2

**99-127 Application of kernel-based stochastic gradient algorithms to option pricing***by*Barty Kengy & Girardeau Pierre & Strugarek Cyrille & Roy Jean-Sébastien**129-149 Component-by-component construction of low-discrepancy point sets of small size***by*Doerr Benjamin & Gnewuch Michael & Kritzer Peter & Pillichshammer Friedrich**151-170 Generalized Becker–Döring equations modeling the time evolution of a process of preferential attachment with fitness***by*Guiaş Flavius**171-189 Sigma-algebra theorems***by*Halton John H.

### January 2008, Volume 14, Issue 1

**1-27 Sequential Monte Carlo for linear systems – a practical summary***by*Halton John H.**29-51 Some new simulations schemes for the evaluation of Feynman–Kac representations***by*Maire Sylvain & Tanré Etienne**53-74 Spectra of Perron–Frobenius operator and new construction of two dimensional low discrepancy sequences***by*Mori Makoto**75-84 Computing percentage points of the largest among Student's t random variables***by*Nadarajah Saralees**85-98 A new nonrecursive pseudorandom number generator based on chaos mappings***by*Yaguchi Hirotake & Kubo Izumi

### January 2008, Volume 13, Issue 5-6

**333-351 The weighted variance minimization for options pricing***by*Gormin A. A. & Kashtanov Y. N.**353-367 A quasilinear stochastic partial differential equation driven by fractional white noise***by*Grecksch Wilfried & Roth Christian**369-388 A quasi-stochastic simulation of the general dynamics equation for aerosols***by*Lécot C. & Tarhini A.**389-404 Skewed distributions generated by the Student's t kernel***by*Nadarajah Saralees**405-453 Expansion of random boundary excitations for elliptic PDEs***by*Sabelfeld Karl**455-465 Monte Carlo estimators for small sensitivity indices***by*Sobol' I. M. & Myshetskaya E. E.**467-483 A use of algorithms for numerical modeling of order statistics***by*Voytishek Anton & Myasnikov Alexandr & Saneev Leonid

### November 2007, Volume 13, Issue 4

**253-273 Fast GPU-based reuse of paths in radiosity***by*Castro Francesc & Patow Gustavo & Sbert Mateu & Halton John H.**275-285 Approximations for expectations of functionals of solutions to stochastic differential equations***by*Egorov A. D.**287-298 On approximation of matrix valued functional integrals***by*Malyutin V.**299-331 Mixed initial-boundary value problem in particle modeling of microelectronic devices***by*Nedjalkov M. & Vasileska D. & Dimov I. & Arsov G.

### August 2007, Volume 13, Issue 3

**173-195 Monte Carlo Techniques for Parametric Finite Multidimensional Integral Equations***by*Arsham Hossein**197-217 Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation***by*Kawai Reiichiro**219-225 Integral Evaluation Using the Δ2-distribution. Simulation and Illustration***by*Missov Trifon I.**227-244 Admissible and Asymptotically Optimal Linear Congruential Generators***by*Nekrutkin V. & Samakhova M.**245-252 Pollard's rho attack on ECDLP and Threshold Schemes***by*Vidya K. P.

### July 2007, Volume 13, Issue 2

**99-116 On a real-time scheme for the estimation of volatility***by*Ogawa Shigeyoshi & Wakayama Koji**117-133 Weak approximations of solutions of a first order hyperbolic stochastic partial differential equation***by*Roth Christian**135-171 Exact retrospective Monte Carlo computation of arithmetic average Asian options***by*Jourdain Benjamin & Sbai Mohamed

### April 2007, Volume 13, Issue 1

**1-20 An Efficient Randomized Quasi-Monte Carlo Algorithm for the Pareto Distribution***by*Huang M. L. & Pollanen M. & Yuen W. K.**21-35 Comparison of Time–to–Event Data for Clinical Trials***by*Nadarajah Saralees**37-70 Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity***by*Pagès Gilles**71-88 A Fast Stratified Sampling Simulation of Coagulation Processes***by*Sabelfeld K. & Levykin A. & Privalova T.**89-97 On Global Sensitivity Indices: Monte Carlo Estimates Affected by Random Errors***by*Sobol' Ilya M. & Shukhman Boris V.

### November 2006, Volume 12, Issue 5

**347-362 Policy iteration for american options: overview***by*Bender Christian & Kolodko Anastasia & Schoenmakers John