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ORCIDMonte Carlo Methods and Applications, Volume 17
Volume 17, Number 1, March 2011
- Reza Habibi:
A note on approximating distribution functions of cusum and cusumsq tests. 1-10 - Jonas Kiessling, Raúl Tempone
:
Diffusion approximation of Lévy processes with a view towards finance. 11-45 - Peter E. Kloeden, Carlos Sanz-Chacón:
Efficient price sensitivity estimation of financial derivatives by weak derivatives. 47-75 - Bernard Lapeyre, Jérôme Lelong:
A framework for adaptive Monte Carlo procedures. 77-98
Volume 17, Number 2, June 2011
- Andreas Eichler, Gunther Leobacher, Heidrun Zellinger:
Calibration of financial models using quasi-Monte Carlo. 99-131 - Terry Brumback, Chien-Pin Chen:
Hybrid modeling of homogenous gas-phase combustion reactions. 133-154 - Yurij Kozachenko, Yu. Yu. Mlavets:
Probability of large deviations of sums of random processes from Orlicz space. 155-168 - János Engländer, Nándor Sieben:
Critical branching random walk in an IID environment. 169-193
Volume 17, Number 3, September 2011
- Annika Lang, Jürgen Potthoff:
Fast simulation of Gaussian random fields. 195-214 - Yevgen V. Turchyn:
Simulation of sub-Gaussian processes using wavelets. 215-231 - Jesper Karlsson, Raúl Tempone:
Towards automatic global error control: Computable weak error expansion for the tau-leap method. 233-278 - Reiichiro Kawai, Hiroki Masuda:
Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes. 279-300
Volume 17, Number 4, December 2011
- Don McLeish:
A general method for debiasing a Monte Carlo estimator. 301-315 - Nadia Belaribi, François Cuvelier, Francesco Russo:
A probabilistic algorithm approximating solutions of a singular PDE of porous media type. 317-369 - Abass Sagna:
Pricing of barrier options by marginal functional quantization. 371-398 - Victor S. Antyufeev:
Non-negative regularization for systems of linear algebraic equations. 399-410 - Sergei M. Ermakov:
Variance of the simplest Monte Carlo estimators in the sign-changing case. 411-417
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