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  • Conference proceedings
  • © 2016

Monte Carlo and Quasi-Monte Carlo Methods

MCQMC, Leuven, Belgium, April 2014

  • Provides information on current trends in the area of Monte Carlo (MC) and quasi-Monte Carlo (QMC) methods
  • Presents invited survey papers that summarize the state-of-the-art of the corresponding field
  • Benefits practitioners by including concrete applications in statistics, finance, computer graphics, and other computational areas
  • Includes supplementary material: sn.pub/extras

Part of the book series: Springer Proceedings in Mathematics & Statistics (PROMS, volume 163)

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Table of contents (33 papers)

  1. Front Matter

    Pages i-xviii
  2. Contributed Papers

    1. Front Matter

      Pages 207-207
    2. Unbiased Simulation of Distributions with Explicitly Known Integral Transforms

      • Denis Belomestny, Nan Chen, Yiwei Wang
      Pages 229-244
    3. Central Limit Theorem for Adaptive Multilevel Splitting Estimators in an Idealized Setting

      • Charles-Edouard Bréhier, Ludovic Goudenège, Loïc Tudela
      Pages 245-260
    4. Computational Higher Order Quasi-Monte Carlo Integration

      • Robert N. Gantner, Christoph Schwab
      Pages 271-288
    5. Non-nested Adaptive Timesteps in Multilevel Monte Carlo Computations

      • Michael B. Giles, Christopher Lester, James Whittle
      Pages 303-314
    6. On ANOVA Decompositions of Kernels and Gaussian Random Field Paths

      • David Ginsbourger, Olivier Roustant, Dominic Schuhmacher, Nicolas Durrande, Nicolas Lenz
      Pages 315-330
    7. The Mean Square Quasi-Monte Carlo Error for Digitally Shifted Digital Nets

      • Takashi Goda, Ryuichi Ohori, Kosuke Suzuki, Takehito Yoshiki
      Pages 331-350
    8. Uncertainty and Robustness in Weather Derivative Models

      • Ahmet Göncü, Yaning Liu, Giray Ökten, M. Yousuff Hussaini
      Pages 351-365

About this book

This book presents the refereed proceedings of the Eleventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Leuven (Belgium) in April 2014. These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. Offering information on the latest developments in these very active areas, this book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, arising, in particular, in finance, statistics and computer graphics.

Editors and Affiliations

  • Department of Computer Science, KU Leuven, Heverlee, Belgium

    Ronald Cools, Dirk Nuyens

Bibliographic Information

Buy it now

Buying options

eBook USD 129.00
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 169.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book USD 169.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access