Monte Carlo Methods and Applications
Volume 11, 2005

Contents

Back to the Journal page


Number 1, pp.1-95

Abdelali Gabih and Wilfried Grecksch
An ε-Optimal Portfolio with Stochastic Volatility
1

Dmitry Kolyukhin and Karl Sabelfeld
Stochastic flow simulation in 3D porous media
15

Yaohang Li and Michael Mascagni
Grid-based Quasi-Monte Carlo Applications
39

Huyn Pham, Wolfgang Runggaldier and Afef Sellami
Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation
57

I.M.Sobol and S.S.Kucherenko
On global sensitivity analysis of quasi-Monte Carlo algorithms
82


Number 2, pp.97-201

Vlad Bally, Lucia Caramellino, and Antonino Zanette
Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
97

V. Gerlovina and V. Nekrutkin
Asymptotical behavior of linear congruential generators
135

Makoto Mori
Construction of three-dimensional low discrepancy sequences
163

Clive G. Wells and Markus Kraft
Direct Simulation and Mass Flow Stochastic Algorithms to Solve a Sintering-Coagulation Equation
175


Number 3, pp.203-353

John H. Halton
QUASI-PROBABILITY.
Why quasi-Monte-Carlo methods are statistically valid and how their errors can be estimated statistically
203


Number 4, pp.355-465

Aurlien Alfonsi
On the discretization schemes for the CIR (and Bessel squared) processes
355

Nicolas Bouleau

Dirichlet Forms in Simulation
385

Kablukova E.G.
Investigation of methods of numerical integration with optimal convergence speed
397

Gilles Pags and Jacques Printems
Functional quantization for numerics with an application to option pricing
407

Mikhail Plotnikov and Elena Shkarupa
The discrete-stochastic approaches to solving the linearized Boltzmann equation
447


Back to the Journal page