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