Monte Carlo and Quasi-Monte Carlo methods 2008
This volume represents the refereed proceedings of the Eighth International C- ference on Monte Carlo and Quasi-Monte Carlo Methods in Scienti c Computing, which was held at the University of Montréal, from 6 11 July, 2008. It contains a limited selection of articles based on presentations made at t...
Salvato in:
| Autore principale: | |
|---|---|
| Altri autori: | , |
| Natura: | Livre numérique |
| Lingua: | Anglais |
| Pubblicazione: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Springer e-books
[20..].
Cham : Springer Nature |
| 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 13 février 2012 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 methods 2008, [edited by] Pierre L' Ecuyer, Art B. Owen, New York, Springer, 2009, 1 vol. (672 p.), 978-3-642-04106-8 |
Sommario:
- 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 Subsequences of 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