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.
General
| Imprint: |
Springer-Verlag New York
|
| Country of origin: |
United States |
| Series: |
Springer Series in Statistics |
| Release date: |
February 2009 |
| First published: |
2009 |
| Authors: |
Christiane Lemieux
|
| Dimensions: |
235 x 155 x 23mm (L x W x T) |
| Format: |
Hardcover
|
| Pages: |
373 |
| Edition: |
2009 ed. |
| ISBN-13: |
978-0-387-78164-8 |
| Categories: |
Books >
Science & Mathematics >
Mathematics >
Numerical analysis
Promotions
|
| LSN: |
0-387-78164-1 |
| Barcode: |
9780387781648 |
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