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  • Conference proceedings
  • © 2012

Monte Carlo and Quasi-Monte Carlo Methods 2010

  • The proceedings provide information on current trends in the area of MC and QMC methods
  • The invited survey papers summarize the state-of-the-art of the corresponding field
  • Practitioners benefit from concrete applications in finance, statistics, and many computational areas
  • Includes supplementary material: sn.pub/extras

Part of the book series: Springer Proceedings in Mathematics & Statistics (PROMS, volume 23)

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Table of contents (42 papers)

  1. Contributed Articles

    1. Options Pricing for Several Maturities in a Jump-Diffusion Model

      • Anatoly Gormin, Yuri Kashtanov
      Pages 385-398
    2. Enumerating Quasi-Monte Carlo Point Sequences in Elementary Intervals

      • Leonhard Grünschloß, Matthias Raab, Alexander Keller
      Pages 399-408
    3. Spatial/Angular Contributon Maps for Improved Adaptive Monte Carlo Algorithms

      • Carole Kay Hayakawa, Rong Kong, Jerome Spanier
      Pages 419-434
    4. Parallel Quasi-Monte Carlo Integration by Partitioning Low Discrepancy Sequences

      • Alexander Keller, Leonhard Grünschloß
      Pages 487-498
    5. Quasi-Monte Carlo Progressive Photon Mapping

      • Alexander Keller, Leonhard Grünschloß, Marc Droske
      Pages 499-509
    6. Numerical Simulation of the Drop Size Distribution in a Spray

      • Christian Lécot, Moussa Tembely, Arthur Soucemarianadin, Ali Tarhini
      Pages 523-537
    7. Nonasymptotic Bounds on the Mean Square Error for MCMC Estimates via Renewal Techniques

      • Krzysztof Łatuszyński, Błażej Miasojedow, Wojciech Niemiro
      Pages 539-555
    8. Exact Simulation of Occupation Times

      • Roman N. Makarov, Karl Wouterloot
      Pages 573-587
    9. Random and Deterministic Digit Permutations of the Halton Sequence

      • Giray Ökten, Manan Shah, Yevgeny Goncharov
      Pages 609-622
    10. A Quasi Monte Carlo Method for Large-Scale Inverse Problems

      • Nick Polydorides, Mengdi Wang, Dimitri P. Bertsekas
      Pages 623-637
    11. In Search for Good Chebyshev Lattices

      • Koen Poppe, Ronald Cools
      Pages 639-654

About this book

This book represents the refereed proceedings of the Ninth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Warsaw (Poland) in August 2010. These biennial conferences are major events for Monte Carlo and the premiere event for quasi-Monte Carlo research. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. The reader will be provided with information on latest developments in these very active areas. The book is an excellent reference for theoreticians and practitioners interested in solving high-dimensional computational problems arising, in particular, in finance and statistics.

Editors and Affiliations

  • , Institute of Applied Mathematics, University of Warsaw, Warsaw, Poland

    Leszek Plaskota, Henryk Woźniakowski

Bibliographic Information

Buy it now

Buying options

eBook USD 129.00
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 169.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book USD 169.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access