| 書(shū)目名稱(chēng) | Monte Carlo and Quasi-Monte Carlo Sampling | | 編輯 | Christiane Lemieux | | 視頻video | http://file.papertrans.cn/640/639136/639136.mp4 | | 概述 | Many books have been written on the Monte Carlo method and its applications, especially in finance, stochastic simulation, and quasi-Monte Carlo methods.Presents all these topics together in one place | | 叢書(shū)名稱(chēng) | Springer Series in Statistics | | 圖書(shū)封面 |  | | 描述 | .Quasi–Monte Carlo methods have become an increasingly popular alternative to Monte Carlo methods over the last two decades. Their successful implementation on practical problems, especially in finance, has motivated the development of several new research areas within this field to which practitioners and researchers from various disciplines currently contribute...This book presents essential tools for using quasi–Monte Carlo sampling in practice. The first part of the book focuses on issues related to Monte Carlo methods—uniform and non-uniform random number generation, variance reduction techniques—but the material is presented to prepare the readers for the next step, which is to replace the random sampling inherent to Monte Carlo by quasi–random sampling. The second part of the book deals with this next step. Several aspects of quasi-Monte Carlo methods are covered, including constructions, randomizations, the use of ANOVA decompositions, and the concept of effective dimension. The third part of the book is devoted to applications in finance and more advanced statistical tools like Markov chain Monte Carlo and sequential Monte Carlo, with a discussion of their quasi–Monte Carl | | 出版日期 | Book 2009 | | 關(guān)鍵詞 | ANOVA; Monte Carlo; Monte Carlo method; STATISTICA; Variance; integration; quasi-Monte Carlo; simulation | | 版次 | 1 | | doi | https://doi.org/10.1007/978-0-387-78165-5 | | isbn_softcover | 978-1-4419-2676-0 | | isbn_ebook | 978-0-387-78165-5Series ISSN 0172-7397 Series E-ISSN 2197-568X | | issn_series | 0172-7397 | | copyright | Springer-Verlag New York 2009 |
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