Introduction to Quasi-Monte Carlo Integration and Applications
Author:   Gunther Leobacher ,  Friedrich Pillichshammer
Publisher:   Birkhauser Verlag AG
Edition:   2014 ed.
ISBN:  

9783319034249


Pages:   195
Publication Date:   02 October 2014
Format:   Paperback
Availability:   Manufactured on demand   Availability explained
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Introduction to Quasi-Monte Carlo Integration and Applications


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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   Availability explained
We will order this item for you from a manufactured on demand supplier.

Table of Contents

Preface.- Notation.- 1 Introduction.- 2 Uniform Distribution Modulo One.- 3 QMC Integration in Reproducing Kernel Hilbert Spaces.- 4 Lattice Point Sets.- 5 (t, m, s)-nets and (t, s)-Sequences.- 6 A Short Discussion of the Discrepancy Bounds.- 7 Foundations of Financial Mathematics.- 8 Monte Carlo and Quasi-Monte Carlo Simulation.- Bibliography.- Index.

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.

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