Monte Carlo and Quasi-Monte Carlo Methods 2002 : Proceedings of a Conference Held at the National University of Singapore, Republic of Singapore, November 25–28, 2002

this Book Represents The Refereed Proceedings Of The Fifth International Conference On Monte Carlo And Quasi-monte Carlo Methods In Scientific Computing Which Was Held At The National University Of Singapore In The Year 2002. An Important Feature Are Invited Surveys Of The State Of The Art In Key Areas Such As Multidimensional Numerical Integration, Low-discrepancy Point Sets, Computational Complexity, Finance, And Other Applications Of Monte Carlo And Quasi-monte Carlo Methods. These Proceedings Also Include Carefully Selected Contributed Papers On All Aspects Of Monte Carlo And Quasi-monte Carlo Methods. The Reader Will Be Informed About Current Research In This Very Active Area. Front Matter....Pages I-XIX Finance: A Fertile Field for Applications of MC and QMC....Pages 1-26 How Many Random Bits Do We Need for Monte Carlo Integration?....Pages 27-49 On Tractability of Weighted Integration for Certain Banach Spaces of Functions....Pages 51-71 Polynomial Integration Lattices....Pages 73-98 Approximate Bayesian Computation and MCMC....Pages 99-113 New Challenges for the Simulation of Stochastic Processes....Pages 115-127 Stochastic Models and Monte Carlo Algorithms for Boltzmann Type Equations....Pages 129-153 Digital Nets, Duality, and Algebraic Curves....Pages 155-166 Generalized Mersenne Prime Number and Its Application to Random Number Generation....Pages 167-180 Constructing Good Lattice Rules with Millions of Points....Pages 181-197 Lattice Structure of Nonlinear Pseudorandom Number Generators in Parts of the Period....Pages 199-211 Simulation for American Options: Regression Now or Regression Later?....Pages 213-226 Perturbation Monte Carlo Methods for the Solution of Inverse Problems....Pages 227-241 Quantum Boolean Summation with Repetitions in the Worst-Average Setting....Pages 243-258 The Strong Tractability of Multivariate Integration Using Lattice Rules....Pages 259-273 Minimizing Effective Dimension Using Linear Transformation....Pages 275-292 Component by Component Construction of Rank-1 Lattice Rules Having O ( n -1 (In( n )) d ) Star Discrepancy....Pages 293-298 Stratification by Rank-1 Lattices....Pages 299-313 Walsh Series Analysis of the Star Discrepancy of Digital Nets and Sequences....Pages 315-327 Quasi-Monte Carlo Methods for Estimating Transient Measures of Discrete Time Markov Chains....Pages 329-343 Quasi-Monte Carlo Methods for Elliptic BVPs....Pages 345-355 Stable Connectivity of Networks and Its Monte Carlo Estimation....Pages 357-366 Using Quasi-Monte Carlo Scenarios in Risk Management....Pages 367-377 Adaptive Quasi-Monte Carlo Integration Based on MISER and VEGAS....Pages 379-392 When Does Monte Carlo Depend Polynomially on the Number of Variables?....Pages 393-406 A New Adaptive Method for Geometric Convergence....Pages 407-437 Polynomial Arithmetic Analogue of Hickernell Sequences....Pages 439-449 ....Pages 451-459 This paper provides some background on the finance field and describes applications of the Monte Carlo and Quasi Monte Carlo approaches to this discipline.