Título: Monte Carlo and Quasi-Monte Carlo Sampling
Autor: Christiane Lemieux
Sinopse: Quasi-Monte Carlo methods have become an increasingly popular alternative to Monte Carlo methods over the last two decades. Their successful implementation on practical problems, especially in finance, has motivated the development of several new research areas within this field to which practitioners and researchers from various disciplines currently contribute. This book presents essential tools for using quasi-Monte Carlo sampling in practice. The first part of the book focuses on issues related to Monte Carlo methods—uniform and non-uniform random number generation, variance reduction techniques—but the material is presented to prepare the readers for the next step, which is to replace the random sampling inherent to Monte Carlo by quasi-random sampling. The second part of the book deals with this next step. Several aspects of quasi-Monte Carlo methods are covered, including constructions, randomizations, the use of ANOVA decompositions, and the concept of effective dimension. The third part of the book is devoted to applications in finance and more advanced statistical tools like Markov chain Monte Carlo and sequential Monte Carlo, with a discussion of their quasi-Monte Carlo counterpart. The prerequisites for reading this book are a basic knowledge of statistics and enough mathematical maturity to follow through the various techniques used throughout the book. This text is aimed at graduate students in statistics, management science, operations research, engineering, and applied mathematics. It should also be useful to practitioners who want to learn more about Monte Carlo and quasi-Monte Carlo methods and researchers interested in an up-to-date guide to these methods. Christiane Lemieux is an Associate Professor and the Associate Chair for Actuarial Science in the Department of Statistics and Actuarial Science at the University of Waterloo in Canada. She is an Associate of the Society of Actuaries and was the winner of a “Young Researcher Award in Information-Based Complexity” in 2004.
Contexto da obra
Quando a classificação é mais ampla, o contexto do livro costuma depender ainda mais de autoria, tema e edição. “Monte Carlo and Quasi-Monte Carlo Sampling”, de Christiane Lemieux, publicado pela editora Springer, em 2009 e com 373 páginas, integra a categoria Livros Variados. Por isso, autoria, edição e tema acabam tendo ainda mais peso na forma de apresentar o livro.
Editora: Springer
Páginas: 373
Ano: 2009
Edição:
Linguagem: pt_BR
ISBN: 0387781641
ISBN13: 9780387781648
Sobre a editora
Os livros da editora Springer apresentam uma leitura densa e focada em temas acadêmicos e científicos, com ênfase em áreas como matemática avançada, ciências naturais, tecnologia e ciências da saúde. A experiência de leitura costuma exigir familiaridade com linguagem técnica e conceitos especializados, refletindo o rigor das pesquisas e análises aprofundadas. O tom varia entre o didático e o expositivo, com obras que vão desde apresentações formais de teorias até relatos detalhados de estudos de caso e revisões sistemáticas. O catálogo sugere uma predominância de textos que dialogam com públicos acadêmicos e profissionais, oferecendo conteúdos que se apoiam em fundamentos históricos, dados empíricos e metodologias precisas.
