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  • Conference proceedings
  • © 2009

Monte Carlo and Quasi-Monte Carlo Methods 2008

Editors:

  1. Pierre L' Ecuyer

    1. Centre de Recherches Mathématiques, Université de Montréal, Montreal, Canada

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  2. Art B. Owen

    1. Dept. Statistics, Stanford University, Stanford, U.S.A.

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    You can also search for this editor in PubMed   Google Scholar

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Table of contents (42 papers)

  1. Front Matter

    Pages I-XII
    PDF

  2. Tutorials

    1. Front Matter

      Pages 1-1
      PDF

    3. Monte Carlo Computation in Finance

      • Jeremy Staum
      Pages 19-42

  3. Invited Articles

    1. Front Matter

      Pages 43-43
      PDF

    2. Particle Markov Chain Monte Carlo for Efficient Numerical Simulation

      • Christophe Andrieu, Arnaud Doucet, Roman Holenstein
      Pages 45-60

    5. Sensitivity Estimates for Compound Sums

      • Paul Glasserman, Kyoung-Kuk Kim
      Pages 97-112

    6. New Perspectives on (0,s)-Sequences

      • Christiane Lemieux, Henri Faure
      Pages 113-130

    7. Variable Subspace Sampling and Multi-level Algorithms

      • Thomas Müller-Gronbach, Klaus Ritter
      Pages 131-156

    9. MINT – New Features and New Results

      • Rudolf Schürer, Wolfgang Ch. Schmid
      Pages 171-189

  4. Contributed Articles

    1. Front Matter

      Pages 191-191
      PDF

    2. Recursive Computation of Value-at-Risk and Conditional Value-at-Risk using MC and QMC

      • Olivier Bardou, Noufel Frikha, Gilles Pagès
      Pages 193-208

    3. Adaptive Monte Carlo Algorithms Applied to Heterogeneous Transport Problems

      • Katherine Bhan, Rong Kong, Jerome Spanier
      Pages 209-225

    4. Efficient Simulation of Light-Tailed Sums: an Old-Folk Song Sung to a Faster New Tune...

      • Jose H. Blanchet, Kevin Leder, Peter W. Glynn
      Pages 227-248

    6. Extensions of Fibonacci Lattice Rules

      • Ronald Cools, Dirk Nuyens
      Pages 259-270

    7. Efficient Search for Two-Dimensional Rank-1 Lattices with Applications in Graphics

      • Sabrina Dammertz, Holger Dammertz, Alexander Keller
      Pages 271-287
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Keywords

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Editors and Affiliations

  • Centre de Recherches Mathématiques, Université de Montréal, Montreal, Canada

    Pierre L' Ecuyer

  • Dept. Statistics, Stanford University, Stanford, U.S.A.

    Art B. Owen

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Bibliographic Information

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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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