Monte carlo and quasi-monte carlo sampling
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 practitione...
Salvato in:
| Autore principale: | |
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| Natura: | Livre numérique |
| Lingua: | Anglais |
| Pubblicazione: |
New York, NY :
Springer New York
[20..].
Cham : Springer Nature |
| Edizione: | 1st ed. 2009. |
| Serie: | Springer Series in Statistics
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| Soggetti: | |
| Accesso online: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
Description d'après consultation du 03 octobre 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Monte Carlo and Quasi-Monte Carlo Sampling, Texte imprimé, 9780387569758 • Monte carlo and quasi-monte carlo sampling, Christiane Lemieux, New York, Springer, 2009, 1 volume (xvi-373 pages), Springer Series in Statistics, 0-387-78164-1 • Monte carlo and quasi-monte carlo sampling, Christiane Lemieux, New York, Springer, 2009, 1 volume (xvi-373 pages), Springer Series in Statistics, 0-387-78164-1 |
| Riassunto: | 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. Christiane Lemieux is an Associate Professor and the Associate Chair for Actuarial Science in the Department of Statistics and Actuarial Science at the University of Waterloo in Canada. She is an Associate of the Society of Actuaries and was the winner of a "Young Researcher Award in Information-Based Complexity" in 2004 |
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| Descrizione del documento: | Description d'après consultation du 03 octobre 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Bibliografia: | Bibliogr. Index |
| ISBN: | 9780387781655 |
| ISSN: | 2197-568X |
| Accesso: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |