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Implementing Quasi Monte Carlo Simulations With Linear Transformations
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Book Synopsis Monte Carlo and Quasi-Monte Carlo Methods 2010 by : Leszek Plaskota
Download or read book Monte Carlo and Quasi-Monte Carlo Methods 2010 written by Leszek Plaskota and published by Springer Science & Business Media. This book was released on 2012-08-23 with total page 721 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the refereed proceedings of the Ninth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Warsaw (Poland) in August 2010. 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 and statistics.
Book Synopsis Monte Carlo and Quasi-Monte Carlo Methods 2002 by : Harald Niederreiter
Download or read book Monte Carlo and Quasi-Monte Carlo Methods 2002 written by Harald Niederreiter and published by Springer Science & Business Media. This book was released on 2011-06-28 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the refereed proceedings of the Fifth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at the National University of Singapore in the year 2002. An important feature are invited surveys of the state of the art in key areas such as multidimensional numerical integration, low-discrepancy point sets, computational complexity, finance, and other applications of Monte Carlo and quasi-Monte Carlo methods. These proceedings also include carefully selected contributed papers on all aspects of Monte Carlo and quasi-Monte Carlo methods. The reader will be informed about current research in this very active area.
Book Synopsis Monte Carlo and Quasi-Monte Carlo Methods 2012 by : Josef Dick
Download or read book Monte Carlo and Quasi-Monte Carlo Methods 2012 written by Josef Dick and published by Springer Science & Business Media. This book was released on 2013-12-05 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Random Number Generation and Quasi-Monte Carlo Methods by : Harald Niederreiter
Download or read book Random Number Generation and Quasi-Monte Carlo Methods written by Harald Niederreiter and published by SIAM. This book was released on 1992-01-01 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tremendous progress has taken place in the related areas of uniform pseudorandom number generation and quasi-Monte Carlo methods in the last five years. This volume contains recent important work in these two areas, and stresses the interplay between them. Some developments contained here have never before appeared in book form. Includes the discussion of the integrated treatment of pseudorandom numbers and quasi-Monte Carlo methods; the systematic development of the theory of lattice rules and the theory of nets and (t,s)-sequences; the construction of new and better low-discrepancy point sets and sequences; Nonlinear congruential methods; the initiation of a systematic study of methods for pseudorandom vector generation; and shift-register pseudorandom numbers. Based on a series of 10 lectures presented by the author at a CBMS-NSF Regional Conference at the University of Alaska at Fairbanks in 1990 to a selected group of researchers, this volume includes background material to make the information more accessible to nonspecialists.
Book Synopsis Monte Carlo and Quasi-Monte Carlo Methods 1996 by : Harald Niederreiter
Download or read book Monte Carlo and Quasi-Monte Carlo Methods 1996 written by Harald Niederreiter and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 463 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monte Carlo methods are numerical methods based on random sampling and quasi-Monte Carlo methods are their deterministic versions. This volume contains the refereed proceedings of the Second International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at the University of Salzburg (Austria) from July 9--12, 1996. The conference was a forum for recent progress in the theory and the applications of these methods. The topics covered in this volume range from theoretical issues in Monte Carlo and simulation methods, low-discrepancy point sets and sequences, lattice rules, and pseudorandom number generation to applications such as numerical integration, numerical linear algebra, integral equations, binary search, global optimization, computational physics, mathematical finance, and computer graphics. These proceedings will be of interest to graduate students and researchers in Monte Carlo and quasi-Monte Carlo methods, to numerical analysts, and to practitioners of simulation methods.
Book Synopsis Strategies for Quasi-Monte Carlo by : Bennett L. Fox
Download or read book Strategies for Quasi-Monte Carlo written by Bennett L. Fox and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: Strategies for Quasi-Monte Carlo builds a framework to design and analyze strategies for randomized quasi-Monte Carlo (RQMC). One key to efficient simulation using RQMC is to structure problems to reveal a small set of important variables, their number being the effective dimension, while the other variables collectively are relatively insignificant. Another is smoothing. The book provides many illustrations of both keys, in particular for problems involving Poisson processes or Gaussian processes. RQMC beats grids by a huge margin. With low effective dimension, RQMC is an order-of-magnitude more efficient than standard Monte Carlo. With, in addition, certain smoothness - perhaps induced - RQMC is an order-of-magnitude more efficient than deterministic QMC. Unlike the latter, RQMC permits error estimation via the central limit theorem. For random-dimensional problems, such as occur with discrete-event simulation, RQMC gets judiciously combined with standard Monte Carlo to keep memory requirements bounded. This monograph has been designed to appeal to a diverse audience, including those with applications in queueing, operations research, computational finance, mathematical programming, partial differential equations (both deterministic and stochastic), and particle transport, as well as to probabilists and statisticians wanting to know how to apply effectively a powerful tool, and to those interested in numerical integration or optimization in their own right. It recognizes that the heart of practical application is algorithms, so pseudocodes appear throughout the book. While not primarily a textbook, it is suitable as a supplementary text for certain graduate courses. As a reference, it belongs on the shelf of everyone with a serious interest in improving simulation efficiency. Moreover, it will be a valuable reference to all those individuals interested in improving simulation efficiency with more than incremental increases.
Book Synopsis Monte Carlo and Quasi-Monte Carlo Methods by : Aicke Hinrichs
Download or read book Monte Carlo and Quasi-Monte Carlo Methods written by Aicke Hinrichs and published by Springer Nature. This book was released on with total page 657 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Monte Carlo and Quasi-Monte Carlo Sampling by : Christiane Lemieux
Download or read book Monte Carlo and Quasi-Monte Carlo Sampling written by Christiane Lemieux and published by Springer Science & Business Media. This book was released on 2009-04-03 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quasi–Monte Carlo methods have become an increasingly popular alternative to Monte Carlo methods over the last two decades. Their successful implementation on practical problems, especially in finance, has motivated the development of several new research areas within this field to which practitioners and researchers from various disciplines currently contribute. This book presents essential tools for using quasi–Monte Carlo sampling in practice. The first part of the book focuses on issues related to Monte Carlo methods—uniform and non-uniform random number generation, variance reduction techniques—but the material is presented to prepare the readers for the next step, which is to replace the random sampling inherent to Monte Carlo by quasi–random sampling. The second part of the book deals with this next step. Several aspects of quasi-Monte Carlo methods are covered, including constructions, randomizations, the use of ANOVA decompositions, and the concept of effective dimension. The third part of the book is devoted to applications in finance and more advanced statistical tools like Markov chain Monte Carlo and sequential Monte Carlo, with a discussion of their quasi–Monte Carlo counterpart. The prerequisites for reading this book are a basic knowledge of statistics and enough mathematical maturity to follow through the various techniques used throughout the book. This text is aimed at graduate students in statistics, management science, operations research, engineering, and applied mathematics. It should also be useful to practitioners who want to learn more about Monte Carlo and quasi–Monte Carlo methods and researchers interested in an up-to-date guide to these methods.
Book Synopsis Monte Carlo and Quasi-Monte Carlo Methods 2008 by : Pierre L' Ecuyer
Download or read book Monte Carlo and Quasi-Monte Carlo Methods 2008 written by Pierre L' Ecuyer and published by Springer Science & Business Media. This book was released on 2010-01-14 with total page 669 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the refereed proceedings of the Eighth International Conference on Monte Carlo (MC)and Quasi-Monte Carlo (QMC) Methods in Scientific Computing, held in Montreal (Canada) in July 2008. It covers the latest theoretical developments as well as important applications of these methods in different areas. It contains two tutorials, eight invited articles, and 32 carefully selected articles based on the 135 contributed presentations made at the conference. This conference is a major event in Monte Carlo methods and is the premiere event for quasi-Monte Carlo and its combination with Monte Carlo. This series of proceedings volumes is the primary outlet for quasi-Monte Carlo research.
Book Synopsis Monte Carlo and Quasi-Monte Carlo Methods by : Bruno Tuffin
Download or read book Monte Carlo and Quasi-Monte Carlo Methods written by Bruno Tuffin and published by Springer Nature. This book was released on 2020-05-01 with total page 533 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the refereed proceedings of the 13th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Rennes, France, and organized by Inria, in July 2018. 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.
Book Synopsis Sparse Grids and Applications by : Jochen Garcke
Download or read book Sparse Grids and Applications written by Jochen Garcke and published by Springer Science & Business Media. This book was released on 2012-10-13 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the recent decade, there has been a growing interest in the numerical treatment of high-dimensional problems. It is well known that classical numerical discretization schemes fail in more than three or four dimensions due to the curse of dimensionality. The technique of sparse grids helps overcome this problem to some extent under suitable regularity assumptions. This discretization approach is obtained from a multi-scale basis by a tensor product construction and subsequent truncation of the resulting multiresolution series expansion. This volume of LNCSE is a collection of the papers from the proceedings of the workshop on sparse grids and its applications held in Bonn in May 2011. The selected articles present recent advances in the mathematical understanding and analysis of sparse grid discretization. Aspects arising from applications are given particular attention.
Book Synopsis Mathematics – Key Technology for the Future by : Willi Jäger
Download or read book Mathematics – Key Technology for the Future written by Willi Jäger and published by Springer Science & Business Media. This book was released on 2008-04-10 with total page 353 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is about the results of a number of projects funded by the BMBF in the initiative "Mathematics for Innovations in Industry and Services". It shows that a broad spectrum of analytical and numerical mathematical methods and programming techniques are used to solve a lot of different specific industrial or services problems. The main focus is on the fact that the mathematics used is not usually standard mathematics or black box mathematics but is specifically developed for specific industrial or services problems. Mathematics is more than a tool box or an ancilarry science for other scientific disciplines or users. Through this book the reader will gain insight into the details of mathematical modeling and numerical simulation for a lot of industrial applications.
Book Synopsis Monte Carlo Methods in Financial Engineering by : Paul Glasserman
Download or read book Monte Carlo Methods in Financial Engineering written by Paul Glasserman and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 603 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis
Book Synopsis Implementing Models in Quantitative Finance: Methods and Cases by : Gianluca Fusai
Download or read book Implementing Models in Quantitative Finance: Methods and Cases written by Gianluca Fusai and published by Springer Science & Business Media. This book was released on 2007-12-20 with total page 606 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain "crash courses" in VBA and Matlab programming languages.
Book Synopsis Modeling Uncertainty by : Moshe Dror
Download or read book Modeling Uncertainty written by Moshe Dror and published by Springer. This book was released on 2014-03-24 with total page 770 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling Uncertainty: An Examination of Stochastic Theory, Methods, and Applications, is a volume undertaken by the friends and colleagues of Sid Yakowitz in his honor. Fifty internationally known scholars have collectively contributed 30 papers on modeling uncertainty to this volume. Each of these papers was carefully reviewed and in the majority of cases the original submission was revised before being accepted for publication in the book. The papers cover a great variety of topics in probability, statistics, economics, stochastic optimization, control theory, regression analysis, simulation, stochastic programming, Markov decision process, application in the HIV context, and others. There are papers with a theoretical emphasis and others that focus on applications. A number of papers survey the work in a particular area and in a few papers the authors present their personal view of a topic. It is a book with a considerable number of expository articles, which are accessible to a nonexpert - a graduate student in mathematics, statistics, engineering, and economics departments, or just anyone with some mathematical background who is interested in a preliminary exposition of a particular topic. Many of the papers present the state of the art of a specific area or represent original contributions which advance the present state of knowledge. In sum, it is a book of considerable interest to a broad range of academic researchers and students of stochastic systems.
Book Synopsis SIAM Journal on Scientific Computing by :
Download or read book SIAM Journal on Scientific Computing written by and published by . This book was released on 2006 with total page 776 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Simulation and Applications in Finance with MATLAB Programs by : Huu Tue Huynh
Download or read book Stochastic Simulation and Applications in Finance with MATLAB Programs written by Huu Tue Huynh and published by John Wiley & Sons. This book was released on 2011-11-21 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Simulation and Applications in Finance with MATLAB Programs explains the fundamentals of Monte Carlo simulation techniques, their use in the numerical resolution of stochastic differential equations and their current applications in finance. Building on an integrated approach, it provides a pedagogical treatment of the need-to-know materials in risk management and financial engineering. The book takes readers through the basic concepts, covering the most recent research and problems in the area, including: the quadratic re-sampling technique, the Least Squared Method, the dynamic programming and Stratified State Aggregation technique to price American options, the extreme value simulation technique to price exotic options and the retrieval of volatility method to estimate Greeks. The authors also present modern term structure of interest rate models and pricing swaptions with the BGM market model, and give a full explanation of corporate securities valuation and credit risk based on the structural approach of Merton. Case studies on financial guarantees illustrate how to implement the simulation techniques in pricing and hedging. NOTE TO READER: The CD has been converted to URL. Go to the following website www.wiley.com/go/huyhnstochastic which provides MATLAB programs for the practical examples and case studies, which will give the reader confidence in using and adapting specific ways to solve problems involving stochastic processes in finance.
