Overview
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.
Full Product Details
Author: Gunther Leobacher ,
Friedrich Pillichshammer
Publisher: Birkhauser Verlag AG
Imprint: Birkhauser Verlag AG
Edition: 2014 ed.
Dimensions:
Width: 15.50cm
, Height: 1.10cm
, Length: 23.50cm
Weight: 3.226kg
ISBN: 9783319034249
ISBN 10: 3319034243
Pages: 195
Publication Date: 02 October 2014
Audience:
Professional and scholarly
,
College/higher education
,
Professional & Vocational
,
Undergraduate
Format: Paperback
Publisher's Status: Active
Availability: Manufactured on demand
We will order this item for you from a manufactured on demand supplier.
Reviews
The book under review is based on a one-semester undergraduate course and suited for readers with a basic knowledge in linear algebra, finite fields, calculus and elementary probability theory. The authors give a concise and well-written introduction to multivariate integration by Quasi-Monte Carlo (QMC) techniques and applications to mathematical finance. ... Every chapter contains interesting exercise problems and useful hints for further reading of related literature. (Robert F. Tichy, Mathematical Reviews, June, 2015)
The book under review is based on a one-semester undergraduate course and suited for readers with a basic knowledge in linear algebra, finite fields, calculus and elementary probability theory. The authors give a concise and well-written introduction to multivariate integration by Quasi-Monte Carlo (QMC) techniques and applications to mathematical finance. Every chapter contains interesting exercise problems and useful hints for further reading of related literature. (Robert F. Tichy, Mathematical Reviews, June, 2015)
Author Information
Gunther Leobacher is assistant professor at the Institute of Financial Mathematics at the Johannes Kepler University Linz. Friedrich Pillichshammer is associate professor at the Institute of Financial Mathematics at the Johannes Kepler University Linz.
