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Sequential Monte Carlo Methods for Nonlinear Discrete-Time Filtering
Morgan & Claypool Publishers 2013; US$ 40.00In these notes, we introduce particle filtering as a recursive importance sampling method that approximates the minimum-mean-square-error (MMSE) estimate of a sequence of hidden state vectors in scenarios where the joint probability distribution of the states and the observations is non-Gaussian and, therefore, closed-form analytical expressions for... more...
Simulation and the Monte Carlo Method, Student Solutions Manual
Wiley 2012; US$ 32.95This 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... more...
Exploring Monte Carlo Methods
Elsevier Science 2011; US$ 121.00Exploring 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... more...
Handbook of Markov Chain Monte Carlo
Chapman & Hall/CRC 2011; US$ 99.95"Handbook of Markov Chain Monte Carlo" brings together the major advances that have occurred in recent years while incorporating enough introductory material for new users of MCMC. Along with thorough coverage of the theoretical foundations and algorithmic and computational methodology, this comprehensive handbook includes substantial realistic... more...
Statistical Simulation
CRC Press 2009; US$ 94.95Focusing 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...
Simulation and the Monte Carlo Method
Wiley 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... more...
Monte Carlo and Quasi-Monte Carlo Sampling
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...
Quasi-Monte Carlo Methods in Finance
Diplomica Verlag 2008; US$ 46.37Portfolio 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... more...
Monte Carlo Methods
Wiley 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... more...
Premiers pas en simulation (Statistique et probabilités appliquées) (French Edition)
Springer 2008; US$ 31.99Ce 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... more...









