Advances in Modeling and Simulation

Chapter 1 Monte Carlo Methods for Pricing American Options

Chapter 2 Remarks on Lévy Process Simulation

Chapter 3 Exact Sampling for the Maximum of Infinite Memory Gaussian Processes

Chapter 4 Truncated Multivariate Student Computations via Exponential Tilting

Chapter 5 Quasi-Monte Carlo Methods in Portfolio Selection with Many Constraints

Chapter 6 Geometric-Moment Contraction of G/G/1 Waiting Times

Chapter 7 Tractability of Approximation in the Weighted Korobov Space in the Worst-Case Setting

Chapter 8 Rare-Event Simulation via Neural Networks

Chapter 9 Preintegration is Not Smoothing When Monotonicity Fails

Chapter 10 Combined Derivative Estimators

Chapter 11 A Central Limit Theorem For Empirical Quantiles in the Markov Chain Setting

Chapter 12 Simulation of Markov Chains with Continuous State Space by Using Simple Stratified and Sudoku Latin Square Sampling

Chapter 13 Quasi-Random Sampling with Black Box or Acceptance-Rejection Inputs

Chapter 14 A Generalized Transformed Density Rejection Algorithm

Chapter 15 Fast Automatic Bayesian Cubature Using Sobol’ Sampling

Chapter 16 Rendering Along the Hilbert Curve

Chapter 17 Array-RQMC to Speed up the Simulation for Estimating the Hitting-Time Distribution to a Rare Set of a Regenerative System

Chapter 19 Where are the Logs?

Chapter 20 Network Reliability, Performability Metrics, Rare Events and Standard Monte Carlo