Introduction to Quasi-Monte Carlo Integration and Applications

  • Gunther Leobacher
  • Friedrich Pillichshammer
Book

Part of the Compact Textbooks in Mathematics book series (CTM)

Table of contents

  1. Front Matter
    Pages i-xii
  2. Gunther Leobacher, Friedrich Pillichshammer
    Pages 1-10
  3. Gunther Leobacher, Friedrich Pillichshammer
    Pages 11-53
  4. Gunther Leobacher, Friedrich Pillichshammer
    Pages 55-72
  5. Gunther Leobacher, Friedrich Pillichshammer
    Pages 73-106
  6. Gunther Leobacher, Friedrich Pillichshammer
    Pages 107-142
  7. Gunther Leobacher, Friedrich Pillichshammer
    Pages 143-148
  8. Gunther Leobacher, Friedrich Pillichshammer
    Pages 149-162
  9. Gunther Leobacher, Friedrich Pillichshammer
    Pages 163-187
  10. Back Matter
    Pages 189-195

About this book

Introduction

This textbook introduces readers to the basic concepts of quasi-Monte Carlo methods for numerical integration and to the theory behind them. The comprehensive treatment of the subject with detailed explanations comprises, for example, lattice rules, digital nets and sequences and discrepancy theory. It also presents methods currently used in research and discusses practical applications with an emphasis on finance-related problems. Each chapter closes with suggestions for further reading and with exercises which help students to arrive at a deeper understanding of the material presented.

The book is based on a one-semester, two-hour undergraduate course and is well-suited for readers with a basic grasp of algebra, calculus, linear algebra and basic probability theory. It provides an accessible introduction for undergraduate students in mathematics or computer science.

Keywords

digital nets discrepancy lattice rules numerical integration quasi-Monte Carlo uniform distribution

Authors and affiliations

  • Gunther Leobacher
    • 1
  • Friedrich Pillichshammer
    • 2
  1. 1.Institute of Financial MathematicsUniversity of LinzLinzAustria
  2. 2.University of Linz LinzAustria

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-03425-6
  • Copyright Information Springer International Publishing Switzerland 2014
  • Publisher Name Birkhäuser, Cham
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-319-03424-9
  • Online ISBN 978-3-319-03425-6
  • Series Print ISSN 2296-4568
  • Series Online ISSN 2296-455X
  • About this book
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