## Monte Carlo Methods and Applications

Volume 11, 2005

## Contents

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### 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

*Huyén 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

*Aurélien 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 Pagés 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

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