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Introduction to Quasi-Monte Carlo Integration and Applications

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....

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Bibliographic Details
Main Authors: Leobacher, Gunther, Pillichshammer, Friedrich (Author)
Format: eBook
Language:English
Published: Cham Birkhäuser 2014, 2014
Edition:1st ed. 2014
Series:Compact Textbooks in Mathematics
Subjects:
Number Theory
Mathematics In Business, Economics And Finance
Numerical Analysis
Social Sciences / Mathematics
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
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245 0 0 |a Introduction to Quasi-Monte Carlo Integration and Applications  |h Elektronische Ressource  |c by Gunther Leobacher, Friedrich Pillichshammer 
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260 |a Cham  |b Birkhäuser  |c 2014, 2014 
300 |a XII, 195 p. 21 illus., 16 illus. in color  |b online resource 
505 0 |a Preface -- Notation -- 1 Introduction -- 2 Uniform Distribution Modulo One -- 3 QMC Integration in Reproducing Kernel Hilbert Spaces -- 4 Lattice Point Sets -- 5 (t, m, s)-nets and (t, s)-Sequences -- 6 A Short Discussion of the Discrepancy Bounds -- 7 Foundations of Financial Mathematics -- 8 Monte Carlo and Quasi-Monte Carlo Simulation -- Bibliography -- Index 
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653 |a Mathematics in Business, Economics and Finance 
653 |a Numerical Analysis 
653 |a Number Theory 
653 |a Social sciences / Mathematics 
653 |a Numerical analysis 
700 1 |a Pillichshammer, Friedrich  |e [author] 
041 0 7 |a eng  |2 ISO 639-2 
989 |b Springer  |a Springer eBooks 2005- 
490 0 |a Compact Textbooks in Mathematics 
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082 0 |a 512.7 
520 |a 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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