Compact Textbooks in Mathematics

Introduction to Quasi-Monte Carlo Integration and Applications

Authors: Leobacher, Gunther, Pillichshammer, Friedrich

  • Provides a quick entry into the topic
  • Takes a hands-on approach
  • Presents applications in quantitative finance
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eBook $39.99
price for USA (gross)
  • ISBN 978-3-319-03425-6
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $49.99
price for USA
  • ISBN 978-3-319-03424-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this Textbook

This textbook introduces readers to the basic concepts of quasi-Monte Carlo methods for numerical integration and to the theory behind them. The comprehensive treatment of the subject with detailed explanations comprises, for example, lattice rules, digital nets and sequences and discrepancy theory. It also presents methods currently used in research and discusses practical applications with an emphasis on finance-related problems. Each chapter closes with suggestions for further reading and with exercises which help students to arrive at a deeper understanding of the material presented.

The book is based on a one-semester, two-hour undergraduate course and is well-suited for readers with a basic grasp of algebra, calculus, linear algebra and basic probability theory. It provides an accessible introduction for undergraduate students in mathematics or computer science.

About the authors

Gunther Leobacher is assistant professor at the Institute of Financial Mathematics at the Johannes Kepler University Linz.

Friedrich Pillichshammer is associate professor at the Institute of Financial Mathematics at the Johannes Kepler University Linz.

Reviews

“The book under review is based on a one-semester undergraduate course and suited for readers with a basic knowledge in linear algebra, finite fields, calculus and elementary probability theory. The authors give a concise and well-written introduction to multivariate integration by Quasi-Monte Carlo (QMC) techniques and applications to mathematical finance. … Every chapter contains interesting exercise problems and useful hints for further reading of related literature.” (Robert F. Tichy, Mathematical Reviews, June, 2015)


Table of contents (8 chapters)

  • Introduction

    Leobacher, Gunther (et al.)

    Pages 1-10

  • Uniform Distribution Modulo One

    Leobacher, Gunther (et al.)

    Pages 11-53

  • QMC Integration in Reproducing Kernel Hilbert Spaces

    Leobacher, Gunther (et al.)

    Pages 55-72

  • Lattice Point Sets

    Leobacher, Gunther (et al.)

    Pages 73-106

  • (t, m, s)-Nets and (t, s)-Sequences

    Leobacher, Gunther (et al.)

    Pages 107-142

Buy this book

eBook $39.99
price for USA (gross)
  • ISBN 978-3-319-03425-6
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $49.99
price for USA
  • ISBN 978-3-319-03424-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Introduction to Quasi-Monte Carlo Integration and Applications
Authors
Series Title
Compact Textbooks in Mathematics
Copyright
2014
Publisher
Birkhäuser Basel
Copyright Holder
Springer International Publishing Switzerland
Distribution Rights
Distribution rights for India: Researchco Book Centre, New Delhi, India
eBook ISBN
978-3-319-03425-6
DOI
10.1007/978-3-319-03425-6
Softcover ISBN
978-3-319-03424-9
Series ISSN
2296-4568
Edition Number
1
Number of Pages
XII, 195
Number of Illustrations and Tables
5 b/w illustrations, 16 illustrations in colour
Topics