经典ＭＣ和Ｑｕａｓｉ－ＭＣ教材，作者是精算方面的专家。


Product Description        Product Description    Quasi-MonteCarlo methods have become an increasingly popular alternative to MonteCarlo methods over the last two decades. Their successfulimplementation on practical problems, especially in finance, hasmotivated the development of several new research areas within thisfield to which practitioners and researchers from various disciplinescurrently contribute.
  This book presents essential tools forusing quasi-Monte Carlo sampling in practice. The first part of thebook focuses on issues related to Monte Carlo methods—uniform andnon-uniform random number generation, variance reduction techniques—butthe material is presented to prepare the readers for the next step,which is to replace the random sampling inherent to Monte Carlo byquasi-random sampling. The second part of the book deals with this nextstep. Several aspects of quasi-Monte Carlo methods are covered,including constructions, randomizations, the use of ANOVAdecompositions, and the concept of effective dimension. The third partof the book is devoted to applications in finance and more advancedstatistical tools like Markov chain Monte Carlo and sequential MonteCarlo, with a discussion of their quasi-Monte Carlo counterpart.
  Theprerequisites for reading this book are a basic knowledge of statisticsand enough mathematical maturity to follow through the varioustechniques used throughout the book. This text is aimed at graduatestudents in statistics, management science, operations research,engineering, and applied mathematics. It should also be useful topractitioners who want to learn more about Monte Carlo and quasi-MonteCarlo methods and researchers interested in an up-to-date guide tothese methods.
  Christiane Lemieux is an Associate Professor andthe Associate Chair for Actuarial Science in the Department ofStatistics and Actuarial Science at the University of Waterloo inCanada. She is an Associate of the Society of Actuaries and was thewinner of a “Young Researcher Award in Information-Based Complexity” in2004.
      
  


      About the Author    ChristianeLemieux is an Associate Professor and the Associate Chair for ActuarialScience in the Department of Statistics and Actuarial Science at theUniversity of Waterloo in Canada. She is an Associate of the Society ofActuaries and was the winner of a “Young Researcher Award inInformation-Based Complexity” in 2004.