Monte Carlo and Quasi-Monte Carlo Sampling

Quasi-Monte Carlo methods have become an increasingly popular alternative to Monte Carlo methods over the last two decades. This book presents all of the essential tools for using quasi-Monte Carlo sampling on practical problems, especially in finance.

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 in a unified way, by continuously using the interplay between integration and simulation Reader will be able to apply random sampling to a wide range of problems and understand how to replace it by highly-uniform sampling Includes supplementary material: sn.pub/extras

Autorentext

Christiane Lemieux is an Associate Professor and the Associate Chair for Actuarial Science in the Department of Statistics and Actuarial Science at the University of Waterloo in Canada. She is an Associate of the Society of Actuaries and was the winner of a Young Researcher Award in Information-Based Complexity in 2004.

Inhalt
The Monte Carlo Method.- Sampling from Known Distributions.- Pseudorandom Number Generators.- Variance Reduction Techniques.- QuasiMonte Carlo Constructions.- Using Quasi#x2013;Monte Carlo in Practice.- Financial Applications.- Beyond Numerical Integration.