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  • Conference proceedings
  • © 2013

Monte Carlo and Quasi-Monte Carlo Methods 2012

Editors:

  1. Josef Dick

    1. The University of New South Wales School of Mathematics and Statistics, Sydney, Australia

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  2. Frances Y. Kuo

    1. The University of New South Wales School of Mathematics and Statistics, Sydney, Australia

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  3. Gareth W. Peters

    1. The University of New South Wales School of Mathematics and Statistics, Sydney, Australia

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  4. Ian H. Sloan

    1. The University of New South Wales School of Mathematics and Statistics, Sydney, Australia

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  • State-of-the-art of theoretical development on Monte Carlo (MC), quasi-Monte Carlo (QMC) and Markov chain Monte Carlo (MCMC) methods
  • Covers a variety of applications of MC, QMC, and MCMC
  • Survey articles on MC, QMC, and MCMC introduce contemporary knowledge and open problems in these areas
  • Includes supplementary material: sn.pub/extras

Part of the book series: Springer Proceedings in Mathematics & Statistics (PROMS, volume 65)

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Table of contents (34 papers)

  1. Front Matter

    Pages i-xii
    PDF

  2. Invited Articles

    1. Front Matter

      Pages 1-1
      PDF

    4. An Introduction to Stochastic Particle Integration Methods: With Applications to Risk and Insurance

      • Pierre Del Moral, Gareth W. Peters, Christelle Vergé
      Pages 39-81

    5. Multilevel Monte Carlo Methods

      • Michael B. Giles
      Pages 83-103

    6. Guaranteed Conservative Fixed Width Confidence Intervals via Monte Carlo Sampling

      • Fred J. Hickernell, Lan Jiang, Yuewei Liu, Art B. Owen
      Pages 105-128

    7. Discrepancy, Integration and Tractability

      • Aicke Hinrichs
      Pages 129-172

  3. Tutorial

    1. Front Matter

      Pages 211-211
      PDF

    2. Quasi-Monte Carlo Image Synthesis in a Nutshell

      • Alexander Keller
      Pages 213-249

  4. Contributed Articles

    1. Front Matter

      Pages 251-251
      PDF

    2. Conditional Sampling for Barrier Option Pricing Under the Heston Model

      • Nico Achtsis, Ronald Cools, Dirk Nuyens
      Pages 253-269

    3. Probabilistic Star Discrepancy Bounds for Double Infinite Random Matrices

      • Christoph Aistleitner, Markus Weimar
      Pages 271-287

    4. The L 2 Discrepancy of Irrational Lattices

      • Dmitriy Bilyk
      Pages 289-296

    5. Complexity of Banach Space Valued and Parametric Integration

      • Thomas Daun, Stefan Heinrich
      Pages 297-316

    6. Extended Latin Hypercube Sampling for Integration and Simulation

      • Rami El Haddad, Rana Fakhereddine, Christian Lécot, Gopalakrishnan Venkiteswaran
      Pages 317-330

    9. Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs

      • Michael B. Giles, Lukasz Szpruch
      Pages 367-384
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About this book

This book represents the refereed proceedings of the Tenth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of New South Wales (Australia) in February 2012. These biennial conferences are major events for Monte Carlo and the premiere event for quasi-Monte Carlo research. 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. The reader will be provided with information on latest developments in these very active areas. The book is an excellent reference for theoreticians and practitioners interested in solving high-dimensional computational problems arising, in particular, in finance, statistics and computer graphics.
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Keywords

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Editors and Affiliations

  • The University of New South Wales School of Mathematics and Statistics, Sydney, Australia

    Josef Dick, Frances Y. Kuo, Gareth W. Peters, Ian H. Sloan

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Bibliographic Information

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Access via your institution

Buy it now

eBook USD 129.00
Price excludes VAT (USA)
  • Available as 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

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