Monte Carlo and Quasi-Monte Carlo Methods 2008

✍ Scribed by Art B. Owen (auth.), Pierre L' Ecuyer, Art B. Owen (eds.)

Publisher: Springer-Verlag Berlin Heidelberg
Year: 2009
Tongue: English
Leaves: 669
Edition: 1
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

This book represents the refereed proceedings of the Eighth International Conference on Monte Carlo (MC)and Quasi-Monte Carlo (QMC) Methods in Scientific Computing, held in Montreal (Canada) in July 2008. It covers the latest theoretical developments as well as important applications of these methods in different areas. It contains two tutorials, eight invited articles, and 32 carefully selected articles based on the 135 contributed presentations made at the conference. This conference is a major event in Monte Carlo methods and is the premiere event for quasi-Monte Carlo and its combination with Monte Carlo. This series of proceedings volumes is the primary outlet for quasi-Monte Carlo research.

✦ Table of Contents

Front Matter....Pages I-XII
Front Matter....Pages 1-1
Monte Carlo and Quasi-Monte Carlo for Statistics....Pages 3-18
Monte Carlo Computation in Finance....Pages 19-42
Front Matter....Pages 43-43
Particle Markov Chain Monte Carlo for Efficient Numerical Simulation....Pages 45-60
Computational Complexity of Metropolis-Hastings Methods in High Dimensions....Pages 61-71
On Quasi-Monte Carlo Rules Achieving Higher Order Convergence....Pages 73-96
Sensitivity Estimates for Compound Sums....Pages 97-112
New Perspectives on (0, s )-Sequences....Pages 113-130
Variable Subspace Sampling and Multi-level Algorithms....Pages 131-156
Markov Chain Monte Carlo Algorithms: Theory and Practice....Pages 157-169
MINT – New Features and New Results....Pages 171-189
Front Matter....Pages 191-191
Recursive Computation of Value-at-Risk and Conditional Value-at-Risk using MC and QMC....Pages 193-208
Adaptive Monte Carlo Algorithms Applied to Heterogeneous Transport Problems....Pages 209-225
Efficient Simulation of Light-Tailed Sums: an Old-Folk Song Sung to a Faster New Tune.......Pages 227-248
Distribution of Digital Explicit Inversive Pseudorandom Numbers and Their Binary Threshold Sequence....Pages 249-258
Extensions of Fibonacci Lattice Rules....Pages 259-270
Efficient Search for Two-Dimensional Rank-1 Lattices with Applications in Graphics....Pages 271-287
Parallel Random Number Generators Based on Large Order Multiple Recursive Generators....Pages 289-296
Efficient Numerical Inversion for Financial Simulations....Pages 297-304
Equidistribution Properties of Generalized Nets and Sequences....Pages 305-322
Implementation of a Component-By-Component Algorithm to Generate Small Low-Discrepancy Samples....Pages 323-338
Front Matter....Pages 191-191
Quasi-Monte Carlo Simulation of Diffusion in a Spatially Nonhomogeneous Medium....Pages 339-354
L 2 Discrepancy of Two-Dimensional Digitally Shifted Hammersley Point Sets in Base b ....Pages 355-368
Vibrato Monte Carlo Sensitivities....Pages 369-382
The Weighted Variance Minimization in Jump-Diffusion Stochastic Volatility Models....Pages 383-394
(t,m,s) -Nets and Maximized Minimum Distance, Part II....Pages 395-409
Automation of Statistical Tests on Randomness to Obtain Clearer Conclusion....Pages 411-421
On Subsequences of Niederreiter-Halton Sequences....Pages 423-438
Correcting the Bias in Monte Carlo Estimators of American-style Option Values....Pages 439-454
Fast Principal Components Analysis Method for Finance Problems With Unequal Time Steps....Pages 455-465
Adaptive Monte Carlo Algorithms for General Transport Problems....Pages 467-483
On Array-RQMC for Markov Chains: Mapping Alternatives and Convergence Rates....Pages 485-500
Testing the Tests: Using Random Number Generators to Improve Empirical Tests....Pages 501-512
Stochastic Spectral Formulations for Elliptic Problems....Pages 513-528
Adaptive (Quasi-)Monte Carlo Methods for Pricing Path-Dependent Options....Pages 529-544
Monte Carlo Simulation of Stochastic Integrals when the Cost of Function Evaluation Is Dimension Dependent....Pages 545-560
Recent Progress in Improvement of Extreme Discrepancy and Star Discrepancy of One-Dimensional Sequences....Pages 561-572
Discrepancy of Hyperplane Nets and Cyclic Nets....Pages 573-587
A PRNG Specialized in Double Precision Floating Point Numbers Using an Affine Transition....Pages 589-602
On the Behavior of the Weighted Star Discrepancy Bounds for Shifted Lattice Rules....Pages 603-616
Ergodic Estimations of Upscaled Coefficients for Diffusion in Random Velocity Fields....Pages 617-626
Front Matter....Pages 191-191
Green’s Functions by Monte Carlo....Pages 627-636
Tractability of Multivariate Integration for Weighted Korobov Spaces: My 15 Year Partnership with Ian Sloan....Pages 637-653
Back Matter....Pages 655-672