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| Artikel-Nr.: 5667A-9783642425240 Herst.-Nr.: 9783642425240 EAN/GTIN: 9783642425240 |
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![](/p.gif) | Tutorials.- Monte Carlo and Quasi-Monte Carlo for Statistics.- Monte Carlo Computation in Finance.- Invited Articles.- Particle Markov Chain Monte Carlo for Efficient Numerical Simulation.- Computational Complexity of Metropolis-Hastings Methods in High Dimensions.- On Quasi-Monte Carlo Rules Achieving Higher Order Convergence.- Sensitivity Estimates for Compound Sums.- New Perspectives on (0,)-Sequences.- Variable Subspace Sampling and Multi-level Algorithms.- Markov Chain Monte Carlo Algorithms: Theory and Practice.- MINT - New Features and New Results.- Contributed Articles.- Recursive Computation of Value-at-Risk and Conditional Value-at-Risk using MC and QMC.- Adaptive Monte Carlo Algorithms Applied to Heterogeneous Transport Problems.- Efficient Simulation of Light-Tailed Sums: an Old-Folk Song Sung to a Faster New Tune....- Distribution of Digital Explicit Inversive Pseudorandom Numbers and Their Binary Threshold Sequence.- Extensions of Fibonacci Lattice Rules.- Efficient Search for Two-Dimensional Rank-1 Lattices with Applications in Graphics.- Parallel Random Number Generators Based on Large Order Multiple Recursive Generators.- Efficient Numerical Inversion for Financial Simulations.- Equidistribution Properties of Generalized Nets and Sequences.- Implementation of a Component-By-Component Algorithm to Generate Small Low-Discrepancy Samples.- Quasi-Monte Carlo Simulation of Diffusion in a Spatially Nonhomogeneous Medium.- Discrepancy of Two-Dimensional Digitally Shifted Hammersley Point Sets in Base.- Vibrato Monte Carlo Sensitivities.- The Weighted Variance Minimization in Jump-Diffusion Stochastic Volatility Models.- -Nets and Maximized Minimum Distance, Part II.- Automation of Statistical Tests on Randomness to Obtain Clearer Conclusion.- On Subsequencesof Niederreiter-Halton Sequences.- Correcting the Bias in Monte Carlo Estimators of American-style Option Values.- Fast Principal Components Analysis Method for Finance Problems With Unequal Time Steps.- Adaptive Monte Carlo Algorithms for General Transport Problems.- On Array-RQMC for Markov Chains: Mapping Alternatives and Convergence Rates.- Testing the Tests: Using Random Number Generators to Improve Empirical Tests.- Stochastic Spectral Formulations for Elliptic Problems.- Adaptive (Quasi-)Monte Carlo Methods for Pricing Path-Dependent Options.- Monte Carlo Simulation of Stochastic Integrals when the Cost of Function Evaluation Is Dimension Dependent.- Recent Progress in Improvement of Extreme Discrepancy and Star Discrepancy of One-Dimensional Sequences.- Discrepancy of Hyperplane Nets and Cyclic Nets.- A PRNG Specialized in Double Precision Floating Point Numbers Using an Affine Transition.- On the Behavior of the Weighted Star Discrepancy Bounds for Shifted Lattice Rules.- Ergodic Estimations of Upscaled Coefficients for Diffusion in Random Velocity Fields.- Green's Functions by Monte Carlo.- Tractability of Multivariate Integration for Weighted Korobov Spaces: My 15 Year Partnership with Ian Sloan. Weitere Informationen: ![](/p.gif) | ![](/p.gif) | Author: | Pierre L' Ecuyer; Art B. Owen | Verlag: | Springer Berlin | Sprache: | eng |
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![](/p.gif) | Weitere Suchbegriffe: Markov chain; algorithms; calculus; complexity; numerical integration; Simulation; Statistics, Markov chain, Monte Carlo, Quasi-Monte Carlo, algorithms, calculus, complexity, numerical integration, simulation, statistics |
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