Monte Carlo and Quasi-Monte Carlo Methods 2008 [electronic resource] / edited by Pierre L' Ecuyer, Art B. Owen.

Tutorials -- Monte Carlo and Quasi-Monte Carlo for Statistics -- Monte Carlo Computation in Finance -- Invited Articles -- Particle Markov Chain Monte Carlo for Efficient Numerical Simulation -- Computational Complexity of Metropolis-Hastings Methods in High Dimensions -- On Quasi-Monte Carlo Rules Achieving Higher Order Convergence -- Sensitivity Estimates for Compound Sums -- New Perspectives on (0,)-Sequences -- Variable Subspace Sampling and Multi-level Algorithms -- Markov Chain Monte Carlo Algorithms: Theory and Practice -- MINT New Features and New Results -- Contributed Articles -- Recursive Computation of Value-at-Risk and Conditional Value-at-Risk using MC and QMC -- Adaptive Monte Carlo Algorithms Applied to Heterogeneous Transport Problems -- Efficient Simulation of Light-Tailed Sums: an Old-Folk Song Sung to a Faster New Tune... -- Distribution of Digital Explicit Inversive Pseudorandom Numbers and Their Binary Threshold Sequence -- Extensions of Fibonacci Lattice Rules -- Efficient Search for Two-Dimensional Rank-1 Lattices with Applications in Graphics -- Parallel Random Number Generators Based on Large Order Multiple Recursive Generators -- Efficient Numerical Inversion for Financial Simulations -- Equidistribution Properties of Generalized Nets and Sequences -- Implementation of a Component-By-Component Algorithm to Generate Small Low-Discrepancy Samples -- Quasi-Monte Carlo Simulation of Diffusion in a Spatially Nonhomogeneous Medium -- Discrepancy of Two-Dimensional Digitally Shifted Hammersley Point Sets in Base -- Vibrato Monte Carlo Sensitivities -- The Weighted Variance Minimization in Jump-Diffusion Stochastic Volatility Models -- -Nets and Maximized Minimum Distance, Part II -- Automation of Statistical Tests on Randomness to Obtain Clearer Conclusion -- On Subsequences of Niederreiter-Halton Sequences -- Correcting the Bias in Monte Carlo Estimators of American-style Option Values -- Fast Principal Components Analysis Method for Finance Problems With Unequal Time Steps -- Adaptive Monte Carlo Algorithms for General Transport Problems -- On Array-RQMC for Markov Chains: Mapping Alternatives and Convergence Rates -- Testing the Tests: Using Random Number Generators to Improve Empirical Tests -- Stochastic Spectral Formulations for Elliptic Problems -- Adaptive (Quasi-)Monte Carlo Methods for Pricing Path-Dependent Options -- Monte Carlo Simulation of Stochastic Integrals when the Cost of Function Evaluation Is Dimension Dependent -- Recent Progress in Improvement of Extreme Discrepancy and Star Discrepancy of One-Dimensional Sequences -- Discrepancy of Hyperplane Nets and Cyclic Nets -- A PRNG Specialized in Double Precision Floating Point Numbers Using an Affine Transition -- On the Behavior of the Weighted Star Discrepancy Bounds for Shifted Lattice Rules -- Ergodic Estimations of Upscaled Coefficients for Diffusion in Random Velocity Fields -- Greens Functions by Monte Carlo -- Tractability of Multivariate Integration for Weighted Korobov Spaces: My 15 Year Partnership with Ian Sloan.

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