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.
Springer Berlin Heidelberg
; January 2010
668 pages; ISBN 9783642041075Read online
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Title: Monte Carlo and Quasi-Monte Carlo Methods 2008
Author: Pierre L' Ecuyer; Art B. Owen
Tutorials.- Monte Carlo and Quasi-Monte Carlo for Statistics.- Monte Carlo Computation in Finance.- Invited Articles.- Particle Markov Chain Monte Carlo for Efficient Numerical Simulation.- Computational Complexity of Metropolis-Hastings Methods in High Dimensions.- On Quasi-Monte Carlo Rules Achieving Higher Order Convergence.- Sensitivity Estimates for Compound Sums.- New Perspectives on (0,)-Sequences.- Variable Subspace Sampling and Multi-level Algorithms.- Markov Chain Monte Carlo Algorithms: Theory and Practice.- MINT – New Features and New Results.- Contributed Articles.- Recursive Computation of Value-at-Risk and Conditional Value-at-Risk using MC and QMC.- Adaptive Monte Carlo Algorithms Applied to Heterogeneous Transport Problems.- Efficient Simulation of Light-Tailed Sums: an Old-Folk Song Sung to a Faster New Tune....- Distribution of Digital Explicit Inversive Pseudorandom Numbers and Their Binary Threshold Sequence.- Extensions of Fibonacci Lattice Rules.- Efficient Search for Two-Dimensional Rank-1 Lattices with Applications in Graphics.- Parallel Random Number Generators Based on Large Order Multiple Recursive Generators.- Efficient Numerical Inversion for Financial Simulations.- Equidistribution Properties of Generalized Nets and Sequences.- Implementation of a Component-By-Component Algorithm to Generate Small Low-Discrepancy Samples.- Quasi-Monte Carlo Simulation of Diffusion in a Spatially Nonhomogeneous Medium.- Discrepancy of Two-Dimensional Digitally Shifted Hammersley Point Sets in Base.- Vibrato Monte Carlo Sensitivities.- The Weighted Variance Minimization in Jump-Diffusion Stochastic Volatility Models.- -Nets and Maximized Minimum Distance, Part II.- Automation of Statistical Tests on Randomness to Obtain Clearer Conclusion.- On Subsequences of Niederreiter-Halton Sequences.- Correcting the Bias in Monte Carlo Estimators of American-style Option Values.- Fast Principal Components Analysis Method for Finance Problems With Unequal Time Steps.- Adaptive Monte Carlo Algorithms for General Transport Problems.- On Array-RQMC for Markov Chains: Mapping Alternatives and Convergence Rates.- Testing the Tests: Using Random Number Generators to Improve Empirical Tests.- Stochastic Spectral Formulations for Elliptic Problems.- Adaptive (Quasi-)Monte Carlo Methods for Pricing Path-Dependent Options.- Monte Carlo Simulation of Stochastic Integrals when the Cost of Function Evaluation Is Dimension Dependent.- Recent Progress in Improvement of Extreme Discrepancy and Star Discrepancy of One-Dimensional Sequences.- Discrepancy of Hyperplane Nets and Cyclic Nets.- A PRNG Specialized in Double Precision Floating Point Numbers Using an Affine Transition.- On the Behavior of the Weighted Star Discrepancy Bounds for Shifted Lattice Rules.- Ergodic Estimations of Upscaled Coefficients for Diffusion in Random Velocity Fields.- Green’s Functions by Monte Carlo.- Tractability of Multivariate Integration for Weighted Korobov Spaces: My 15 Year Partnership with Ian Sloan.