Introduction to Quasi-Monte Carlo Integration and Applications (Compact Textbooks in Mathematics) - Softcover

Leobacher, Gunther; Pillichshammer, Friedrich

Softcover

ISBN 10: 3319034243 ISBN 13: 9783319034249

Verlag: Birkhäuser, 2014

Inhaltsangabe

This textbook introduces readers to the basic concepts of quasi-Monte Carlo methods for numerical integration and to the theory behind them. The comprehensive treatment of the subject with detailed explanations comprises, for example, lattice rules, digital nets and sequences and discrepancy theory. It also presents methods currently used in research and discusses practical applications with an emphasis on finance-related problems. Each chapter closes with suggestions for further reading and with exercises which help students to arrive at a deeper understanding of the material presented.

The book is based on a one-semester, two-hour undergraduate course and is well-suited for readers with a basic grasp of algebra, calculus, linear algebra and basic probability theory. It provides an accessible introduction for undergraduate students in mathematics or computer science.

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Über die Autorin bzw. den Autor

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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This textbook introduces readers to the basic concepts of quasi-Monte Carlo methods for numerical integration and to the theory behind them. The comprehensive treatment of the subject with detailed explanations comprises, for example, lattice rules, digital nets and sequences and discrepancy theory. It also presents methods currently used in research and discusses practical applications with an emphasis on finance-related problems. Each chapter closes with suggestions for further reading and with exercises which help students to arrive at a deeper understanding of the material presented.

The book is based on a one-semester, two-hour undergraduate course and is well-suited for readers with a basic grasp of algebra, calculus, linear algebra and basic probability theory. It provides an accessible introduction for undergraduate students in mathematics or computer science.

Details zur Ausgabe

• Verlag: Birkhäuser
• Erscheinungsdatum: 2014
• Sprache: Englisch
• ISBN 10: 3319034243
• ISBN 13: 9783319034249
• Einband: Taschenbuch
• Anzahl der Seiten: 208
• Kontakt zum Hersteller: Springer Nature Customer Service Center GmbH; ProductSafety@springernature.com; ; Tiergartenstr. 17; Heidelberg; 69121; Deutschland