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Monte Carlo Methods and Applications, Volume 20
Volume 20, Number 1, March 2014
- Håkon Hoel
, Erik von Schwerin, Anders Szepessy, Raúl Tempone
Implementation and analysis of an adaptive multilevel Monte Carlo algorithm. 1-41 - Jean Michel D. Sellier, Mihail Nedjalkov, Ivan Dimov, Siegfried Selberherr
A benchmark study of the Wigner Monte Carlo method. 43-51 - Kausik Chatterjee, John R. Roadcap, Surendra Singh
A new Green's function Monte Carlo algorithm for the solution of the three-dimensional nonlinear Poisson-Boltzmann equation: Application to the modeling of plasma sheath layers. 53-59 - Vipul Kumar Singh:
Competency of Monte Carlo and Black-Scholes in pricing Nifty index options: A vis-à-vis study. 61-76
Volume 20, Number 2, June 2014
- Adam Metzler, Alexandre Scott:
Rare event simulation for diffusion processes via two-stage importance sampling. 77-100 - Michael Mascagni, Yue Qiu, Lin-Yee Hin
High performance computing in quantitative finance: A review from the pseudo-random number generator perspective. 101-120 - Mircea Grigoriu:
An efficient Monte Carlo solution for problems with random matrices. 121-136 - Yuriy Kozachenko
The criterion of hypothesis testing on the covariance function of a Gaussian stochastic process. 137-144 - Idris Kharroubi, Nicolas Langrené
A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization. 145-165
Volume 20, Number 3, September 2014
- Ilya M. Sobol, Boris Shukhman:
Quasi-Monte Carlo: A high-dimensional experiment. 167 - Karl Sabelfeld
A spectral method for isotropic diffusion equation with random concentration fluctuations of incoming flux of particles through circular-shaped boundaries. 173 - Mohamed Ben Alaya
Multilevel Monte Carlo for Asian options and limit theorems. 181 - Lokman A. Abbas-Turki, Aych I. Bouselmi, Mohammed A. Mikou:
Toward a coherent Monte Carlo simulation of CVA. 195 - Chi-Ok Hwang
Field-induced Kosterlitz-Thouless transition in critical triangular-lattice antiferromagnets. 217
Volume 20, Number 4, December 2014
- Yuri Imamura, Yuta Ishigaki, Toshiki Okumura:
A numerical scheme based on semi-static hedging strategy. 223-235 - Seung-Hwan Lee, Eun-Joo Lee:
A martingale approach to estimating confidence band with censored data. 237-243 - Lucia Del Chicca, Gerhard Larcher:
Hybrid Monte Carlo methods in credit risk management. 245-260 - Stefan Heinz
Uncertainty quantification of world population growth: A self-similar PDF model. 261-277 - Irina A. Shalimova, Karl Sabelfeld
Stochastic polynomial chaos based algorithm for solving PDEs with random coefficients. 279-289
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