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Monte Carlo and Quasi-Monte Carlo Methods 2002

Proceedings of a Conference held at the National University of Singapore, Republic of Singapore, November 25–28, 2002

  • Conference proceedings
  • © 2004

Overview

Editors:
  1. Harald Niederreiter

    1. Department of Mathematics, National University of Singapore, Singapore, Republic of Singapore

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Table of contents (28 papers)

  1. Front Matter

    Pages I-XIX
    Download chapter PDF

  2. Finance: A Fertile Field for Applications of MC and QMC

    • Phelim P. Boyle
    Pages 1-26

  3. How Many Random Bits Do We Need for Monte Carlo Integration?

    • Stefan Heinrich, Erich Novak, Harald Pfeiffer
    Pages 27-49

  4. On Tractability of Weighted Integration for Certain Banach Spaces of Functions

    • Fred J. Hickernell, Ian H. Sloan, Grzegorz W. Wasilkowski
    Pages 51-71

  5. Polynomial Integration Lattices

    • Pierre L’Ecuyer
    Pages 73-98

  6. Approximate Bayesian Computation and MCMC

    • Vincent Plagnol, Simon Tavaré
    Pages 99-113

  7. New Challenges for the Simulation of Stochastic Processes

    • Denis Talay
    Pages 115-127

  8. Stochastic Models and Monte Carlo Algorithms for Boltzmann Type Equations

    • Wolfgang Wagner
    Pages 129-153

  9. Digital Nets, Duality, and Algebraic Curves

    • Chaoping Xing, Harald Niederreiter
    Pages 155-166

  10. Generalized Mersenne Prime Number and Its Application to Random Number Generation

    • Lih-Yuan Deng
    Pages 167-180

  11. Constructing Good Lattice Rules with Millions of Points

    • Josef Dick, Frances Y. Kuo
    Pages 181-197

  12. Lattice Structure of Nonlinear Pseudorandom Number Generators in Parts of the Period

    • Gerhard Dorfer, Arne Winterhof
    Pages 199-211

  13. Simulation for American Options: Regression Now or Regression Later?

    • Paul Glasserman, Bin Yu
    Pages 213-226

  14. Perturbation Monte Carlo Methods for the Solution of Inverse Problems

    • Carole K. Hayakawa, Jerome Spanier
    Pages 227-241

  15. Quantum Boolean Summation with Repetitions in the Worst-Average Setting

    • Stefan Heinrich, Marek Kwas, Henryk Woźniakowski
    Pages 243-258

  16. The Strong Tractability of Multivariate Integration Using Lattice Rules

    • Fred J. Hickernell, Ian H. Sloan, Grzegorz W. Wasilkowski
    Pages 259-273

  17. Minimizing Effective Dimension Using Linear Transformation

    • Junichi Imai, Ken Seng Tan
    Pages 275-292

  18. Component by Component Construction of Rank-1 Lattice Rules HavingO(n -1(In(n))d) Star Discrepancy

    • Stephen Joe
    Pages 293-298

  19. Stratification by Rank-1 Lattices

    • Alexander Keller
    Pages 299-313

  20. Walsh Series Analysis of the Star Discrepancy of Digital Nets and Sequences

    • Gerhard Larcher, Friedrich Pillichshammer
    Pages 315-327
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Editors and Affiliations

  • Department of Mathematics, National University of Singapore, Singapore, Republic of Singapore

    Harald Niederreiter

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