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Nonparametric Monte Carlo Tests and Their Applicationsby Lixing Zhu
Springer-Verlag New York Inc 2005; US$ 79.95Monte Carlo approximation to the null distribution of the test provides a convenient means of testing model fit. This book proposes a Monte Carlo-based methodology to construct this type of approximation when the model is semistructured. It addresses both applied and theoretical aspects of nonparametric Monte Carlo tests. more...
Simulation and Monte Carloby J. S. Dagpunar
John Wiley & Sons, Ltd. 2007; US$ 142.00Simulation and Monte Carlo is aimed at students studying for degrees in Mathematics, Statistics, Financial Mathematics, Operational Research, Computer Science, and allied subjects, who wish an up-to-date account of the theory and practice of Simulation. Its distinguishing features are in-depth accounts of the theory of Simulation, including the important topic of variance reduction techniques, together with illustrative applications in Financial Mathematics, Markov chain Monte Carlo, and Discrete Event Simulation. Each chapter contains a good selection of exercises and solutions with an accompanying appendix comprising a Maple worksheet containing simulation procedures. The worksheets can also be downloaded from the web site supporting the... more...
Simulation and the Monte Carlo Methodby Reuven Y. Rubinstein; Dirk P. Kroese
John Wiley & Sons, Inc. 2008; US$ 128.00This accessible new edition explores the major topics in Monte Carlo simulation Simulation and the Monte Carlo Method , Second Edition reflects the latest developments in the field and presents a fully updated and comprehensive account of the major topics that have emerged in Monte Carlo simulation since the publication of the classic First Edition over twenty-five years ago. While maintaining its accessible and intuitive approach, this revised edition features a wealth of up-to-date information that facilitates a deeper understanding of problem solving across a wide array of subject areas, such as engineering, statistics, computer science, mathematics, and the physical and life sciences. The book begins with a modernized introduction... more...
Premiers pas en simulation (Statistique et probabilités appliquées) (French Edition)by Yadolah Dodge; Giuseppe Melfi
Springer 2008; US$ 39.95Ce livre est une introduction aux techniques de simulation. Après un bref rappel des techniques fondamentales du calcul des probabilités, il expose divers procédés pour générer en grande quantités des nombres aléatoires. Les transformations de variables utilisées pour simuler des échantillons fictifs d?une variable aléatoire et les tests d?hypothèses font l?objet des chapitres suivants. La dernière partie porte sur la méthode de Monte Carlo et ses applications. Tout au long de l?ouvrage, le lecteur est guidé par de nombreux exemples qui illustrent les applications très concrètes des méthodes présentés. more...
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Springer 2009; US$ 84.95Presents essential tools for using quasi-Monte Carlo sampling in practice. This book focuses on issues related to Monte Carlo methods - uniform and non-uniform random number generation, variance reduction techniques. It covers several aspects of quasi-Monte Carlo methods. more...
Simulation and the Monte Carlo Methodby Reuven Y. Rubinstein
John Wiley & Sons, Inc. 2009; US$ 199.00This book provides the first simultaneous coverage of the statistical aspects of simulation and Monte Carlo methods, their commonalities and their differences for the solution of a wide spectrum of engineering and scientific problems. It contains standard material usually considered in Monte Carlo simulation as well as new material such as variance reduction techniques, regenerative simulation, and Monte Carlo optimization. more...
Monte Carlo Methodsby Malvin H. Kalos; Paula A. Whitlock
Wiley-VCH 2008; US$ 170.00This introduction to Monte Carlo Methods seeks to identify and study the unifying elements that underlie their effective application. It focuses on two basic themes. The first is the importance of random walks as they occur both in natural stochastic systems and in their relationship to integral and differential equations. The second theme is that of variance reduction in general and importance sampling in particular as a technique for efficient use of the methods. Random walks are introduced with an elementary example in which the modelling of radiation transport arises directly from a schematic probabilistic description of the interaction of radiation with matter. Building on that example, the relationship between random walks and integral... more...
Statistical Simulationby Todd C. Headrick
CRC Press 2009; US$ 89.95Focusing on both univariate and multivariate nonnormal data generation, this book presents techniques for conducting a Monte Carlo simulation study. It shows how to use power method polynomials for simulating univariate and multivariate nonnormal distributions with specified cumulants and correlation matrices. more...
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Diplomica Verlag 2008; US$ 46.11Portfolio optimization is a widely studied problem in finance dating back to the work of Merton from the 1960s. While many approaches rely on dynamic programming, some recent contributions use martingale techniques to determine the optimal portfolio allocation. Using the latter approach, we follow a journal article from 2003 and show how optimal portfolio weights can be represented in terms of conditional expectations of the state variables and their Malliavin derivatives. In contrast to other approaches, where Monte Carlo methods are used to compute the weights, here the simulation is carried out using Quasi-Monte Carlo methods in order to improve the efficiency. Despite some previous work on Quasi-Monte Carlo simulation of stochastic... more...
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Elsevier 2011; US$ 120.00Exploring Monte Carlo Methods is a basic text that describes the numerical methods that have come to be known as "Monte Carlo." The book treats the subject generically through the first eight chapters and, thus, should be of use to anyone who wants to learn to use Monte Carlo. The next two chapters focus on applications in nuclear engineering, which are illustrative of uses in other fields. Five appendices are included, which provide useful information on probability distributions, general-purpose Monte Carlo codes for radiation transport, and other matters. The famous "Buffon?s needle problem" provides a unifying theme as it is repeatedly used to illustrate many features of Monte Carlo methods. This book provides the basic detail necessary... more...
