Quasi–Monte Carlo methods have become an increasingly popular alternative to Monte Carlo methods over the last two decades. Their successful implementationon 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 materialis 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 secondpart 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. A number of bookshave been written on the Monte Carlo method and its applications, especially in finance, stochastic simulation, and quasi-Monte Carlo methods The purpose of this book is to present all these topics together in one place in a unified way, by continuously using the interplay between integration and simulation INDICE: The Monte Carlo method.- Variance reduction techniques.- Pseudorandom number generators.- Quasi-Monte Carlo.- Financial Applications.
- ISBN: 978-0-387-78164-8
- Editorial: Springer
- Encuadernacion: Cartoné
- Páginas: 376
- Fecha Publicación: 01/03/2009
- Nº Volúmenes: 1
- Idioma: Inglés